Inverse portfolio problem with coherent risk measures.
Bogdan GrechukMichael ZabarankinPublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- risk measures
- portfolio optimization
- portfolio selection
- portfolio management
- robust optimization
- problems involving
- factor analysis
- bi objective
- risk averse
- stock market
- decision making
- optimization methods
- risk management
- stock price
- multiple objectives
- financial markets
- data mining
- long term
- artificial intelligence