Portfolio optimization with asset selection and risk parity control.

Yiyong Feng Daniel Pérez Palomar

Published in: ICASSP (2016)

Keyphrases

portfolio optimization
portfolio management
sharpe ratio
risk management
risk measures
portfolio selection
problems involving
factor analysis
stock market
optimization methods
robust optimization
bi objective
investment decisions
stock exchange
stock price
discriminant analysis
risk averse
financial data