Loss Control with Rank-one Covariance Estimate for Short-term Portfolio Optimization.
Zhao-Rong LaiLiming TanXiaotian WuLiangda FangPublished in: J. Mach. Learn. Res. (2020)
Keyphrases
- short term
- portfolio optimization
- stock market
- long term
- short term and long term
- portfolio selection
- stock exchange
- portfolio management
- long term memory
- load forecasting
- medium term
- short and long term
- forecasting model
- robust optimization
- problems involving
- stock price
- financial data
- bi objective
- factor analysis
- evolutionary algorithm
- financial time series
- risk management
- ant colony optimization