Portfolio optimization with asset preselection using data envelopment analysis.
Mohammad Mehdi HosseinzadehSergio Ortobelli LozzaFarhad Hosseinzadeh LotfiVittorio MoriggiaPublished in: Central Eur. J. Oper. Res. (2023)
Keyphrases
- data envelopment analysis
- portfolio optimization
- sharpe ratio
- portfolio selection
- portfolio management
- input output
- factor analysis
- financial markets
- linear programming
- risk management
- stock market
- robust optimization
- stock price
- dea models
- problems involving
- optimization methods
- multi criteria
- bi objective
- stock exchange
- transaction costs
- multiple objective programming
- linear program
- dea model
- discriminant analysis
- fuzzy logic
- multi objective
- long term
- artificial intelligence
- neural network