Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.
Tim LeungQingshuo SongJie YangPublished in: Finance Stochastics (2013)
Keyphrases
- decision making
- hypothesis testing
- portfolio optimization
- factor analysis
- portfolio management
- portfolio selection
- statistical tests
- stock market
- problems involving
- risk management
- robust optimization
- optimization methods
- bi objective
- stock price
- stock exchange
- data mining
- bayesian networks
- multiple objectives
- efficient solutions
- confidence intervals
- state space
- learning algorithm