Uncertainty of Efficient Frontier in Portfolio Optimization.
Valeriy A. KalyaginSergey V. SlashchininPublished in: LION (2020)
Keyphrases
- portfolio optimization
- robust optimization
- efficient frontier
- risk measures
- data envelopment analysis
- portfolio selection
- multiple criteria
- portfolio management
- risk management
- mathematical programming
- factor analysis
- bi objective
- problems involving
- decision makers
- stock price
- linear program
- stock exchange
- data mining
- stock market
- optimization methods
- semidefinite programming
- optimization algorithm
- particle swarm optimization
- special case