Techniques for Assessing Return and Risk of Investment Portfolios: a Case Study.
Raluca FatOctavian CuibusTiberiu LetiaCalin CenanPublished in: AQTR (2020)
Keyphrases
- investment strategies
- portfolio optimization
- sharpe ratio
- investment decisions
- stock market
- portfolio management
- stock exchange
- portfolio selection
- stock price
- case study
- optimal portfolio
- financial markets
- asset allocation
- test bed
- neural network
- key factors
- risk management
- problems involving
- transaction costs
- data sets
- bi objective
- data mining
- limited budget
- risk measures
- factor analysis
- trading strategies
- robust optimization
- monitoring system
- risk averse
- risk aversion
- website
- decision making
- financial time series
- trading systems