Developing a dynamic portfolio selection model with a self-adjusted rebalancing method.

Jongbin Jung Seongmoon Kim

Published in: J. Oper. Res. Soc. (2017)

Keyphrases

probabilistic model
cost function
objective function
sensitivity analysis
management system
portfolio selection
probability distribution
genetic algorithm
neural network
long term
dynamic programming
model selection
decision problems
combinatorial optimization
robust optimization