An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment.
Pui Lam LeungHon-Yip NgWing-Keung WongPublished in: Eur. J. Oper. Res. (2012)
Keyphrases
- portfolio optimization
- stock market
- portfolio management
- stock price
- stock exchange
- investment decisions
- portfolio selection
- factor analysis
- problems involving
- short term
- bi objective
- financial time series
- stock index futures
- risk management
- robust optimization
- optimization methods
- investment strategies
- news articles
- trading rules