Work

Robust mean-risk portfolio optimization using machine learning-based trade-off parameter

Year: 2021

Type: article

Source: Applied Soft Computing

DOI: 10.1016/j.asoc.2021.107948

Authors: Liangyu Min, Jiawei Dong, Jiangwei Liu, Xiaomin Gong

Institution: Shanghai University of Finance and Economics

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Shanghai University of Finance and Economics, National University's Basic Research Foundation of China, Fundamental Research Funds for the Central Universities

Awards: 金融决策模型的泛化问题研究, G2166005698, G2512000354

OpenAlex ID: W3207693086

FWCI: 4.102

Cites: 82

Cited by: 34

Related to: 10