Robust reward-risk ratio portfolio optimization.
Ruchika SehgalAparna MehraPublished in: Int. Trans. Oper. Res. (2021)
Keyphrases
- portfolio optimization
- robust optimization
- portfolio management
- risk management
- risk measures
- portfolio selection
- problems involving
- stock market
- stock exchange
- factor analysis
- bi objective
- sharpe ratio
- stock price
- multiple objectives
- statistical tests
- software projects
- project management
- linear discriminant analysis
- investment decisions
- software engineering