Risk-Return Trade-off with the Scenario Approach in Practice: A Case Study in Portfolio Selection.
Bernardo K. PagnoncelliDaniel ReichMarco C. CampiPublished in: J. Optim. Theory Appl. (2012)
Keyphrases
- portfolio selection
- trade off
- portfolio optimization
- portfolio management
- multistage stochastic
- risk measures
- optimal portfolio
- case study
- financial markets
- risk management
- expected utility
- investment decisions
- multiple objectives
- robust optimization
- transaction costs
- multi objective optimization
- kernel methods
- investment strategies
- stock market
- decision makers
- data mining