Systemic Risk-Driven Portfolio Selection.
Agostino CapponiAlexey RubtsovPublished in: Oper. Res. (2022)
Keyphrases
- portfolio selection
- portfolio optimization
- portfolio management
- risk measures
- optimal portfolio
- multistage stochastic
- financial markets
- risk management
- robust optimization
- decision making
- multiple objectives
- investment decisions
- probability distribution
- optimization problems
- data mining techniques
- expected utility