Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
From MaRDI portal
Publication:2051157
DOI10.1007/s10287-021-00392-xOpenAlexW3138155329MaRDI QIDQ2051157
Phantipa Thipwiwatpotjana, Songkomkrit Chaiyakan
Publication date: 24 November 2021
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-021-00392-x
investment analysisnonlinear programminginterval linear programmingmean absolute deviation portfolio selection model
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On the global solution of multi-parametric mixed integer linear programming problems
- The optimal solution set of the interval linear programming problems
- Fuzzy portfolio optimization. Advances in hybrid multi-criteria methodologies
- The mean-absolute deviation portfolio selection problem with interval-valued returns
- Geometric algorithm for multiparametric linear programming
- Fuzzy portfolio optimization. Theory and methods
- Optimal value range in interval linear programming
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Stability of the optimal basis of a linear program under uncertainty
- Strong optimal solutions of interval linear programming
- How to determine basis stability in interval linear programming
- Twenty years of linear programming based portfolio optimization
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- Statistical Tools for Finance and Insurance
- An Intertemporal Capital Asset Pricing Model
- What is the Expected Return on the Market?*
- Linear Optimization Problems with Inexact Data
This page was built for publication: Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
