A P-spline based clustering approach for portfolio selection.

Carmela Iorio Gianluca Frasso Antonio D'Ambrosio Roberta Siciliano

Published in: Expert Syst. Appl. (2018)

Keyphrases

portfolio selection
clustering algorithm
portfolio optimization
multistage stochastic
financial markets
portfolio management
robust optimization
transaction costs
long term
probability distribution
data points
optimal portfolio