The two-step problem of investment portfolio selection from two risk assets via the probability criterion.
Andrey I. KibzunAlexei N. IgnatovPublished in: Autom. Remote. Control. (2015)
Keyphrases
- portfolio selection
- portfolio management
- asset allocation
- optimal portfolio
- portfolio optimization
- investment decisions
- financial markets
- multistage stochastic
- investment strategies
- transaction costs
- risk measures
- risk management
- expected utility
- risk averse
- robust optimization
- probability distribution
- stock market
- decision support system
- multiple objectives
- stock exchange
- objective function
- data mining techniques
- stock price
- genetic programming