Bounds for portfolio weights in decentralized asset allocation.
Minho LeeRoy H. KwonChi-Guhn LeePublished in: INFOR Inf. Syst. Oper. Res. (2016)
Keyphrases
- asset allocation
- portfolio management
- optimal portfolio
- portfolio selection
- stock market
- cooperative
- upper bound
- portfolio optimization
- transaction costs
- multi agent
- worst case
- expected utility
- quadratic optimization
- factor analysis
- financial data
- lower bound
- short term
- problems involving
- financial markets
- multi objective