Utility-Deviation-Risk Portfolio Selection.
Kwok Chuen WongSheung Chi Phillip YamH. ZhengPublished in: SIAM J. Control. Optim. (2017)
Keyphrases
- portfolio selection
- portfolio optimization
- portfolio management
- optimal portfolio
- risk measures
- expected utility
- multistage stochastic
- investment decisions
- utility function
- risk management
- financial markets
- multiple objectives
- decision theoretic
- data mining
- robust optimization
- neural network
- transaction costs
- decision theory
- kernel function
- pareto optimal
- management system
- long term
- support vector