Active allocation of systematic risk and control of risk sensitivity in portfolio optimization.

Yingjie Li Shushang Zhu Donghui Li Duan Li

Published in: Eur. J. Oper. Res. (2013)

Keyphrases

portfolio optimization
risk measures
risk management
portfolio management
factor analysis
optimization methods
stock price
portfolio selection
investment decisions
stock market
problems involving
decision making
resource allocation
bi objective
matrix factorization
robust optimization