Novel Data-Driven Resilient Portfolio Risk Measures Using Sign and Volatility Correlations.
Aerambamoorthy ThavaneswaranYou LiangNa YuAlex PasekaRuppa K. ThulasiramPublished in: COMPSAC (2021)
Keyphrases
- risk measures
- data driven
- portfolio optimization
- stock price
- stock market
- portfolio selection
- financial markets
- portfolio management
- stock exchange
- garch model
- stock index futures
- risk management
- non stationary
- robust optimization
- historical data
- financial data
- short term
- financial time series
- exchange rate
- optimization methods
- investment strategies
- problems involving
- bi objective
- dynamic programming
- multi objective
- decision making