Entropic value at risk to find the optimal uncertain random portfolio.
Souad ChennafJaleleddine Ben AmorPublished in: Soft Comput. (2023)
Keyphrases
- decision making
- portfolio management
- optimal portfolio
- worst case
- dynamic programming
- portfolio optimization
- portfolio selection
- asset allocation
- conditional expectation
- optimal control
- information theory
- optimal solution
- investment strategies
- genetic algorithm
- risk assessment
- risk factors
- expected utility
- risk management
- information theoretic
- efficient frontier
- objective function