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Dynamic multi-period sparse portfolio selection model with asymmetric investors' sentiments.

Ju WeiYongxin YangMingzhu JiangJianguo Liu
Published in: Expert Syst. Appl. (2021)
Keyphrases
  • portfolio selection
  • probabilistic model
  • multi period
  • objective function
  • probability distribution
  • combinatorial optimization
  • robust optimization
  • multi item