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Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor.
Jiandong Zhou
Xiang Li
Samarjit Kar
Guoqing Zhang
Haitao Yu
Published in:
J. Ambient Intell. Humaniz. Comput. (2017)
Keyphrases
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portfolio optimization
factor analysis
portfolio management
risk averse
portfolio selection
bi objective
production planning
utility function
robust optimization
risk management
planning horizon
problems involving
optimization methods
expected utility
stock market
stock price
multi objective
fuzzy numbers