Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information.
Sühan AltayKatia ColaneriZehra EksiPublished in: SIAM J. Financial Math. (2019)
Keyphrases
- partial information
- portfolio optimization
- stock price
- stock market
- investment decisions
- stock exchange
- incomplete information
- portfolio management
- portfolio selection
- financial markets
- non stationary
- financial data
- historical data
- financial time series
- risk management
- factor analysis
- bi objective
- news articles
- problems involving
- exchange rate
- trading strategies
- short term
- long term
- artificial intelligence
- robust optimization
- transaction costs