Approximation for portfolio optimization in a financial market with shot-noise jumps.
Oleksandra PutyatinaJörn SassPublished in: Comput. Manag. Sci. (2018)
Keyphrases
- portfolio optimization
- financial markets
- portfolio selection
- stock price
- stock market
- risk management
- portfolio management
- stock exchange
- non stationary
- financial time series
- short term
- financial data
- missing data
- problems involving
- news articles
- trading systems
- bi objective
- factor analysis
- historical data
- optimization methods
- robust optimization
- optimization problems
- software engineering
- trading strategies
- case study
- machine learning