Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
Pieter M. van StadenDuy-Minh DangPeter A. ForsythPublished in: SIAM J. Financial Math. (2019)
Keyphrases
- portfolio optimization
- portfolio selection
- robust optimization
- optimization methods
- portfolio management
- factor analysis
- problems involving
- risk management
- stock exchange
- stock market
- stock price
- investment decisions
- bi objective
- optimization problems
- objective function
- multiple objectives
- optimization algorithm
- multi objective
- decision making