Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns.
Davi Michel ValladãoThuener SilvaMarcus PoggiPublished in: Ann. Oper. Res. (2019)
Keyphrases
- portfolio optimization
- sharpe ratio
- portfolio management
- risk measures
- risk management
- problems involving
- portfolio selection
- stock market
- factor analysis
- bi objective
- investment decisions
- optimization methods
- robust optimization
- stock exchange
- stock price
- genetic algorithm
- decision support system
- multi objective
- decision making