Portfolio optimization for a large investor under partial information and price impact.
Zehra EksiHyejin KuPublished in: Math. Methods Oper. Res. (2017)
Keyphrases
- partial information
- portfolio optimization
- stock market
- portfolio selection
- stock price
- investment decisions
- incomplete information
- stock exchange
- portfolio management
- problems involving
- factor analysis
- risk management
- robust optimization
- financial time series
- machine learning
- bi objective
- historical data
- financial markets
- financial data
- optimization methods
- linear programming
- domain specific
- evolutionary algorithm
- cooperative