Portfolio optimization under convex incentive schemes.
Maxim BichuchStephan SturmPublished in: Finance Stochastics (2014)
Keyphrases
- portfolio optimization
- portfolio selection
- portfolio management
- factor analysis
- robust optimization
- problems involving
- stock market
- optimization methods
- risk management
- bi objective
- convex optimization
- non stationary
- stock price
- stock exchange
- data mining
- independent component analysis
- decision support system
- data warehouse
- face recognition
- genetic algorithm