A new global algorithm for factor-risk-constrained mean-variance portfolio selection.

Huixian Wu Hezhi Luo Xianye Zhang Jianzhen Liu

Published in: J. Glob. Optim. (2023)

Keyphrases

portfolio selection
optimization algorithm
learning algorithm
optimal solution
benchmark problems
computational complexity
dynamic programming
decision making
objective function
long term
np hard
combinatorial optimization
risk management
optimal strategy
financial markets