Sparse simplex projections for portfolio optimization.
Anastasios KyrillidisStephen BeckerVolkan CevherChristoph KochPublished in: GlobalSIP (2013)
Keyphrases
- portfolio optimization
- portfolio selection
- portfolio management
- problems involving
- stock market
- risk management
- factor analysis
- robust optimization
- stock price
- high dimensional
- bi objective
- linear programming
- sharpe ratio
- stock exchange
- mathematical programming
- cluster analysis
- decision support system
- multi objective