Covariance of uncertain random variables and its application to portfolio optimization.
Hamed AhmadzadeRong GaoPublished in: J. Ambient Intell. Humaniz. Comput. (2020)
Keyphrases
- efficient solutions
- random variables
- portfolio optimization
- bi objective
- probability distribution
- graphical models
- portfolio management
- bayesian networks
- stochastic optimization problems
- decision making
- covariance matrix
- factor analysis
- conditional probabilities
- portfolio selection
- optimization methods
- directed acyclic graph
- stock market
- independent and identically distributed
- risk management
- problems involving
- robust optimization
- decision support system
- optimization problems