Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk.
Danping LiJunna BiMengcong HuPublished in: RAIRO Oper. Res. (2021)
Keyphrases
- investment strategies
- stock market
- robust optimization
- risk measures
- stock exchange
- neural network
- portfolio optimization
- risk aversion
- risk management
- stock price
- expected utility
- financial markets
- rebalanced portfolio
- risk averse
- investment decisions
- short term
- information extraction
- long term
- evolutionary algorithm