Long-and Short-Term Forecasting for Portfolio Selection with Transaction Costs.
Guy UzielRan El-YanivPublished in: AISTATS (2020)
Keyphrases
- short term
- transaction costs
- portfolio selection
- long term
- portfolio management
- stock market
- forecasting model
- load forecasting
- portfolio optimization
- financial markets
- robust optimization
- short term and long term
- arima model
- long term memory
- multiple objectives
- medium term
- optimal portfolio
- chaotic time series
- wind power
- wind speed
- stock price