A generalized multi-period mean-variance portfolio optimization with Markov switching parameters.
Oswaldo L. V. CostaMichael V. AraujoPublished in: Autom. (2008)
Keyphrases
- portfolio optimization
- multi period
- portfolio selection
- factor analysis
- problems involving
- bi objective
- stock market
- facility location problem
- optimization methods
- production planning
- risk management
- robust optimization
- planning horizon
- routing problem
- stock exchange
- data envelopment analysis
- lot sizing
- stock price
- evolutionary algorithm
- reinforcement learning
- expert systems