Mean-Variance Portfolio Optimization with Nonlinear Derivative Securities.
Shiyu WangGuowei CaiPeiwen YuGuangwu LiuJun LuoPublished in: WSC (2023)
Keyphrases
- portfolio optimization
- portfolio management
- stock market
- portfolio selection
- sharpe ratio
- problems involving
- risk management
- factor analysis
- robust optimization
- optimization methods
- stock price
- financial markets
- stock exchange
- expert systems
- financial time series
- multiple objectives
- investment decisions
- text documents