Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model

From MaRDI portal
Revision as of 18:20, 6 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4282290

DOI10.1287/mnsc.39.12.1552zbMath0796.90002OpenAlexW2117687469MaRDI QIDQ4282290

Charles D. Feinstein, Mukund N. Thapa

Publication date: 24 March 1994

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.39.12.1552




Related Items (36)

A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance IndustryMultiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraintsCommon stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchangeFuzzy multi-period portfolio selection with different investment horizonsNeural network-based mean-variance-skewness model for portfolio selectionMultiperiod mean semi-absolute deviation interval portfolio selection with entropy constraintsRobust reward–risk ratio portfolio optimizationMulti-Attribute Portfolio Selection with Genetic Optimization AlgorithmsDynamic optimal portfolio with maximum absolute deviation modelPortfolio optimization model with and without options under additional constraintsExtending the MAD portfolio optimization model to incorporate downside risk aversionData envelopment analysis of mutual funds based on second-order stochastic dominanceSuitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selectionIPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selectionEquity portfolio construction and selection using multiobjective mathematical programmingOptimality conditions in portfolio analysis with general deviation measuresStock market prediction and portfolio selection models: a surveyPortfolio construction on the Athens Stock Exchange: a multiobjective optimization approachA nonlinear interval portfolio selection model and its application in banksDynamic portfolio management under competing representationsAn exact algorithm for factor model in portfolio selection with roundlot constraintsON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTIONBounds on mean absolute deviation portfolios under interval-valued expected future asset returnsGoal programming models and their duality relations for use in evaluating security portfolio and regression relationsA new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithmsA new decision-making method for stock portfolio selection based on computing with linguistic assessmentObjective comparisons of the optimal portfolios corresponding to different utility functionsHeuristic algorithms for the portfolio selection problem with minimum transaction lotsMean-Entropy Model of Uncertain Portfolio Selection ProblemFuzzy stock selection using a new fuzzy ranking and weighting algorithmOptimization of a long-short portfolio under nonconvex transaction costOn extending the LP computable risk measures to account downside riskEquivalence of linear deviation about the mean and mean absolute deviation about the mean objective functionsViability of infeasible portfolio selection problems: A fuzzy approachPortfolio optimization model with transaction costs.A modified goal programming approach for the mean-absolute deviation portfolio optimization model







This page was built for publication: Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model