An optimization-diversification approach to portfolio selection.
Francesco CesaroneAndrea ScozzariFabio TardellaPublished in: J. Glob. Optim. (2020)
Keyphrases
- portfolio selection
- robust optimization
- portfolio optimization
- multiple objectives
- multistage stochastic
- financial markets
- portfolio management
- optimization problems
- optimization algorithm
- combinatorial optimization
- search algorithm
- long term
- stock market
- short term
- tabu search
- transaction costs
- kernel function
- data mining