Worst-case VaR and robust portfolio optimization with interval random uncertainty set.
Wei ChenShaohua TanDongqing YangPublished in: Expert Syst. Appl. (2011)
Keyphrases
- robust optimization
- portfolio optimization
- worst case
- risk measures
- portfolio selection
- portfolio management
- mathematical programming
- problems involving
- stock market
- neural network
- bi objective
- factor analysis
- stock exchange
- lot sizing
- optimization methods
- greedy algorithm
- multistage
- clustering method
- evolutionary algorithm
- lower bound