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Improved Conditional Value-at-Risk (CVaR) Based Method for Diversified Bond Portfolio Optimization.

Nor Idayu Mat RifinNuru'l-'Izzah OthmanShahirulliza Shamsul AmbiaRashidah Ismail
Published in: SCDS (2018)
Keyphrases
  • objective function
  • cost function
  • clustering method
  • optimization method
  • portfolio optimization
  • multi objective
  • dynamic programming
  • simulated annealing
  • missing data
  • statistically significant