Multi-period portfolio optimization: Translation of autocorrelation risk to excess variance.
Byung-Geun ChoiNapat RujeerapaiboonRuiwei JiangPublished in: Oper. Res. Lett. (2016)
Keyphrases
- portfolio optimization
- multi period
- portfolio management
- risk management
- planning horizon
- portfolio selection
- production planning
- factor analysis
- problems involving
- facility location problem
- bi objective
- routing problem
- lot sizing
- stock market
- robust optimization
- investment decisions
- optimization methods
- data envelopment analysis
- total cost
- multi item
- stock price
- stock exchange
- approximation algorithms
- non stationary
- knapsack problem
- evolutionary algorithm
- multi objective