Worst-case portfolio optimization in discrete time.
Lihua ChenRalf KornPublished in: Math. Methods Oper. Res. (2019)
Keyphrases
- portfolio optimization
- worst case
- portfolio selection
- problems involving
- risk management
- factor analysis
- stock market
- portfolio management
- robust optimization
- lower bound
- upper bound
- greedy algorithm
- np hard
- bi objective
- approximation algorithms
- optimization methods
- stock exchange
- stock price
- computational complexity
- sample size
- genetic algorithm
- case based reasoning
- long term