Portfolio optimization with choice of a probability measure.
Taiga SaitoAkihiko TakahashiPublished in: CIFEr (2022)
Keyphrases
- portfolio optimization
- probability measure
- portfolio selection
- probability distribution
- problems involving
- risk management
- probabilistic model
- robust optimization
- factor analysis
- bi objective
- stock market
- stock price
- optimization methods
- stock exchange
- hilbert space
- hamming distance
- machine learning
- statistical analysis
- multi objective