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Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization.
Asmerilda Hitaj
Lorenzo Mercuri
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Published in:
Comput. Manag. Sci. (2019)
Keyphrases
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sensitivity analysis
portfolio optimization
managerial insights
influence diagrams
bi objective
portfolio management
factor analysis
robust optimization
portfolio selection
stock market
risk management
k means
stock price
problems involving