Robust mean-risk portfolio optimization using machine learning-based trade-off parameter.
Liangyu MinJiawei DongJiangwei LiuXiaomin GongPublished in: Appl. Soft Comput. (2021)
Keyphrases
- portfolio optimization
- trade off
- robust optimization
- machine learning
- portfolio management
- risk management
- risk measures
- portfolio selection
- problems involving
- factor analysis
- investment decisions
- stock market
- optimization methods
- bi objective
- data mining
- stock exchange
- stock price
- information extraction
- artificial intelligence
- mathematical programming
- text classification
- multi objective
- long term
- sharpe ratio