Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time.

Jianjun Gao Ke Zhou Duan Li Xi-Ren Cao

Published in: SIAM J. Control. Optim. (2017)

Keyphrases

portfolio optimization
portfolio selection
risk measures
robust optimization
portfolio management
factor analysis
risk management
stock market
problems involving
optimization methods
stock exchange
stock price
bi objective
semidefinite programming