First passage times in portfolio optimization: A novel nonparametric approach.

Gabriel Zsurkis João Nicolau Paulo M. M. Rodrigues

Published in: Eur. J. Oper. Res. (2024)

Keyphrases

portfolio optimization
portfolio selection
portfolio management
factor analysis
problems involving
stock market
risk management
optimization methods
stock price
bi objective
robust optimization
stock exchange
decision support system
expert systems
long term
optimization problems