Mean-absolute deviation portfolio optimization problem

DOI10.1080/02522667.2007.10699781MaRDI QIDQ3534458zbMATH OpenOpenAlexFDO

Authors Khlipah Ibrahim, Anton Abdulbasah Kamil

Publication date 3 November 2008

Published in Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02522667.2007.10699781

zbMATH Keywords

downside risklinear programmingportfolio optimization

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

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Cites work

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(11)

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• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
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• Portfolio selection in downside risk optimization approach: application to the Hong Kong stock market
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