Mean absolute negative deviation measure for portfolio selection problem

DOI10.1080/09720502.2010.10700718MaRDI QIDQ3008594zbMATH OpenOpenAlexWikidataFDO

Authors Adli Mustafa, Khlipah Ibrahim, Anton Abdulbasah Kamil

Publication date 22 June 2011

Published in Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL http://www.connectjournals.com/file_html_pdf/900605H_jim353_523-539A.pdf

zbMATH Keywords

deviation measuremean absolute negative deviationportfolio optimizationstochastic linear programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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Cites work

• A minimax portfolio selection rule with linear programming solution
• Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model
• Linear programming under uncertainty
• Optimization of Convex Risk Functions
• Safety First and the Holding of Assets

Cited in

(3)

• Semi-absolute deviation rule for mutual funds portfolio selection
• Mean-absolute deviation portfolio optimization problem
• Stochastic optimization for portfolio selection problem with mean absolute negative deviation measure

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