Optimal Leveraged Portfolio Selection Under Quasi-Elastic Market Impact.
Chanaka EdirisingheJingnan ChenJaehwan JeongPublished in: Oper. Res. (2023)
Keyphrases
- portfolio selection
- optimal portfolio
- financial markets
- portfolio management
- expected utility
- portfolio optimization
- multistage stochastic
- multiple objectives
- dynamic programming
- robust optimization
- genetic algorithm
- worst case
- influence diagrams
- pareto optimal
- data mining
- evolutionary algorithm
- transaction costs
- decision making