Robust portfolio selection involving options under a " marginal+joint " ellipsoidal uncertainty set.

Ai-fan Ling Cheng-Xian Xu

Published in: J. Comput. Appl. Math. (2012)

Keyphrases

portfolio selection
robust optimization
multistage stochastic
portfolio optimization
neural network
artificial intelligence
multiple objectives
data mining
expert systems
np hard
portfolio management
optimal portfolio