Portfolio optimization in a regime-switching market with derivatives.
Jun FuJiaqin WeiHailiang YangPublished in: Eur. J. Oper. Res. (2014)
Keyphrases
- portfolio optimization
- stock price
- stock market
- portfolio management
- stock exchange
- portfolio selection
- investment decisions
- problems involving
- bi objective
- financial markets
- factor analysis
- financial data
- risk management
- non stationary
- optimization methods
- short term
- long term
- news articles
- robust optimization
- sharpe ratio
- transaction costs
- financial time series
- efficient solutions
- communication networks
- multistage
- multi objective