Portfolio selection with probabilistic utility.

Robert Marschinski Pietro Rossi Massimo Tavoni Flavio Cocco

Published in: Ann. Oper. Res. (2007)

Keyphrases

portfolio selection
multistage stochastic
portfolio optimization
portfolio management
transaction costs
bayesian networks
financial markets
multiple objectives
probabilistic model
utility function
robust optimization
optimal portfolio
neural network
long term
np hard
management system