Two-stage portfolio optimization with higher-order conditional measures of risk.
Sitki GültenAndrzej RuszczynskiPublished in: Ann. Oper. Res. (2015)
Keyphrases
- portfolio optimization
- higher order
- risk measures
- portfolio management
- risk management
- portfolio selection
- factor analysis
- problems involving
- bi objective
- stock market
- investment decisions
- robust optimization
- optimization methods
- stock price
- sharpe ratio
- risk averse
- genetic algorithm
- stock exchange
- multi objective
- long term
- evolutionary algorithm