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The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion.
Spiridon I. Penev
Pavel V. Shevchenko
Wei Wu
Published in:
Eur. J. Oper. Res. (2019)
Keyphrases
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standard deviation
portfolio selection
genetic algorithm
evolutionary algorithm
probabilistic model
probability distribution
robust optimization
feature selection
reinforcement learning
objective function
tabu search
multistage