On Worst-Case Portfolio Optimization.
Ralf KornMogens SteffensenPublished in: SIAM J. Control. Optim. (2007)
Keyphrases
- portfolio optimization
- worst case
- portfolio selection
- portfolio management
- risk management
- problems involving
- factor analysis
- upper bound
- bi objective
- lower bound
- stock market
- robust optimization
- optimization methods
- greedy algorithm
- approximation algorithms
- np hard
- stock price
- computational complexity
- sample size
- stock exchange
- sharpe ratio
- non stationary
- feature extraction