Markowitz Portfolio Optimization Extended Quadratic Mean-Field Games Approach.

João Saúde Peter E. Caines

Published in: CDC (2022)

Keyphrases

portfolio optimization
portfolio selection
portfolio management
risk management
factor analysis
problems involving
stock market
robust optimization
stock price
bi objective
stock exchange
optimization methods
objective function
sharpe ratio
short term
decision support system
long term
data mining