A multiobjective portfolio optimization for energy assets using D-Optimal design and mixture design of experiments
Author:
Affiliation:
1. Universidade Federal de Itajubá, Brasil
2. Universidade de Lisboa, Portugal
Publisher
FapUNIFESP (SciELO)
Subject
Industrial and Manufacturing Engineering
Link
http://www.scielo.br/scielo.php?script=sci_pdf&pid=S0103-65132022000100225&tlng=en
Reference37 articles.
1. Portfolio optimization with entropic value-at-risk;Ahmadi-Javid A.;European Journal of Operational Research,2019
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3. Generalized autoregressive score models in R: the GAS package;Ardia D.;Journal of Statistical Software,2019
4. Optimization of combined time series methods to forecast the demand for coffee in Brazil: a new approach using Normal Boundary Intersection coupled with mixture designs of experiments and rotated factor scores;Bacci L. A.;International Journal of Production Economics,2019
5. On portfolio optimization: imposing the right constraints;Behr P.;Journal of Banking & Finance,2013
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