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A comparison of risk measures for portfolio optimization with cardinality constraints.
Henrique Pinto Ramos
Marcelo Brutti Righi
Pablo Cristini Guedes
Fernanda Maria Müller
Published in:
Expert Syst. Appl. (2023)
Keyphrases
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risk measures
portfolio optimization
cardinality constraints
portfolio selection
portfolio management
risk management
problems involving
robust optimization
factor analysis
bi objective
stock market
risk averse
stock price
stock exchange
optimization methods
decision making
software projects
evolutionary algorithm