FDR-Controlled Portfolio Optimization for Sparse Financial Index Tracking.

Jasin Machkour Daniel P. Palomar Michael Muma

Published in: CoRR (2024)

Keyphrases

portfolio optimization
portfolio selection
portfolio management
factor analysis
stock market
risk management
problems involving
robust optimization
bi objective
stock price
investment decisions
optimization methods
stock exchange
decision making
independent component analysis
optimization method
long term