Portfolio Return Maximization using Robust Optimization and Directional Changes.

Rui Jorge Almeida Nalan Bastürk Paulo Rodrigues

Published in: SSCI (2023)

Keyphrases

robust optimization
portfolio optimization
portfolio selection
chance constrained
portfolio management
mathematical programming
stochastic programming
risk measures
investment strategies
lot sizing
objective function
decision theory
semidefinite programming
linear programming
multistage