Aumann-Serrano index of risk in portfolio optimization.
Tiantian LiYoung Shin KimQi FanFumin ZhuPublished in: Math. Methods Oper. Res. (2021)
Keyphrases
- portfolio optimization
- portfolio management
- risk management
- portfolio selection
- risk measures
- problems involving
- stock market
- factor analysis
- investment decisions
- robust optimization
- optimization methods
- bi objective
- stock price
- stock exchange
- cluster analysis
- long term
- sharpe ratio
- efficient solutions
- clustering method
- decision support system
- supply chain
- multi objective