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An asset subset-constrained minimax optimization framework for online portfolio selection.

Jianfei YinAnyang ZhongXiaomian XiaoRuili WangJoshua Zhexue Huang
Published in: Expert Syst. Appl. (2024)
Keyphrases
  • portfolio selection
  • transaction costs
  • financial markets
  • worst case
  • optimization algorithm
  • multiple objectives
  • robust optimization
  • portfolio optimization