Open AccessMulti-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
Author(s) -
Han Yang,
Yunyi Jia,
Nan-jing Huang
Publication year - 2020
Publication title -
journal of industrial and management optimization
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2018177
Subject(s) - portfolio optimization , portfolio , transaction cost , computer science , robust optimization , econometrics , financial market , value at risk , mathematical optimization , market risk , economics , risk management , microeconomics , mathematics , financial economics , finance