Portfolio optimization with serially correlated, skewed and fat tailed index returns.

Markus Glawischnig Immanuel Seidl

Published in: Central Eur. J. Oper. Res. (2013)

Keyphrases

portfolio optimization
sharpe ratio
portfolio selection
factor analysis
portfolio management
problems involving
bi objective
risk management
stock market
optimization methods
robust optimization
stock price
stock exchange
investment decisions
decision making
independent component analysis