Mean-absolute deviation portfolio optimization model under transaction costs
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- Optimization of a long-short portfolio under nonconvex transaction cost
- On extending the LP computable risk measures to account downside risk
- Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
- scientific article; zbMATH DE number 6718869 (Why is no real title available?)
- Mean-entropy model of uncertain portfolio selection problem
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- scientific article; zbMATH DE number 1336607 (Why is no real title available?)
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
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- Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness
- Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case
- A portfolio optimization model with nonconvex costs
- PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL
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- Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression
- A probabilistic approach to portfolio selection with risk-aversion coefficients estimated via logistic regression
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