The risk profile problem for stock portfolio optimization (extended abstract).
Ming-Yang KaoAndreas NolteStephen R. TatePublished in: STOC (2000)
Keyphrases
- extended abstract
- portfolio optimization
- stock market
- stock price
- portfolio management
- stock exchange
- risk measures
- portfolio selection
- risk management
- investment decisions
- problems involving
- factor analysis
- historical data
- optimization methods
- financial markets
- bi objective
- robust optimization
- non stationary
- short term
- financial data
- long term
- sharpe ratio
- trading systems
- transaction costs
- exchange rate
- news articles