Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs.
Amir Abbas NajafiSiamak MushakhianPublished in: Appl. Math. Comput. (2015)
Keyphrases
- multistage
- portfolio optimization
- transaction costs
- portfolio selection
- stochastic programming
- portfolio management
- stock exchange
- robust optimization
- risk measures
- lot sizing
- risk averse
- single stage
- dynamic programming
- stock market
- stock price
- financial markets
- risk management
- factor analysis
- financial data
- optimal policy
- multiple objectives
- bi objective
- problems involving
- machine learning
- optimization methods
- differential evolution
- decision support system
- search space
- learning algorithm