Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach.
Davide La TorreFranklin MendivilPublished in: Ann. Oper. Res. (2018)
Keyphrases
- incomplete information
- portfolio optimization
- partial information
- robust optimization
- possibility theory
- portfolio management
- risk measures
- portfolio selection
- problems involving
- risk management
- stock market
- bi objective
- missing information
- autonomous agents
- factor analysis
- probability distribution
- optimization methods
- stock price
- probability theory
- stock exchange
- mathematical programming
- machine learning
- historical data
- first order logic