Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
From MaRDI portal
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
A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry ⋮ Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints ⋮ Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange ⋮ Fuzzy multi-period portfolio selection with different investment horizons ⋮ Neural network-based mean-variance-skewness model for portfolio selection ⋮ Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints ⋮ Robust reward–risk ratio portfolio optimization ⋮ Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms ⋮ Dynamic optimal portfolio with maximum absolute deviation model ⋮ Portfolio optimization model with and without options under additional constraints ⋮ Extending the MAD portfolio optimization model to incorporate downside risk aversion ⋮ Data envelopment analysis of mutual funds based on second-order stochastic dominance ⋮ Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection ⋮ IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection ⋮ Equity portfolio construction and selection using multiobjective mathematical programming ⋮ Optimality conditions in portfolio analysis with general deviation measures ⋮ Stock market prediction and portfolio selection models: a survey ⋮ Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach ⋮ A nonlinear interval portfolio selection model and its application in banks ⋮ Dynamic portfolio management under competing representations ⋮ An exact algorithm for factor model in portfolio selection with roundlot constraints ⋮ ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION ⋮ Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns ⋮ Goal programming models and their duality relations for use in evaluating security portfolio and regression relations ⋮ A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms ⋮ A new decision-making method for stock portfolio selection based on computing with linguistic assessment ⋮ Objective comparisons of the optimal portfolios corresponding to different utility functions ⋮ Heuristic algorithms for the portfolio selection problem with minimum transaction lots ⋮ Mean-Entropy Model of Uncertain Portfolio Selection Problem ⋮ Fuzzy stock selection using a new fuzzy ranking and weighting algorithm ⋮ Optimization of a long-short portfolio under nonconvex transaction cost ⋮ On extending the LP computable risk measures to account downside risk ⋮ Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions ⋮ Viability of infeasible portfolio selection problems: A fuzzy approach ⋮ Portfolio optimization model with transaction costs. ⋮ A modified goal programming approach for the mean-absolute deviation portfolio optimization model
