Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints.
Maria Cristina ArcuriGino GandolfiFabrizio LauriniPublished in: Central Eur. J. Oper. Res. (2023)
Keyphrases
- portfolio optimization
- portfolio management
- asset allocation
- robust optimization
- portfolio selection
- risk management
- risk measures
- problems involving
- factor analysis
- stock market
- bi objective
- stock price
- mathematical programming
- artificial intelligence
- investment decisions
- optimization methods
- semidefinite programming
- data mining