Portfolio optimization model with and without options under additional constraints
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Publication:2217040
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- OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
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Cited in
(5)- Mean-absolute deviation portfolio models with discrete choice constraints
- OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- A portfolio choice model based on the modified mean-absolute deviation
- Developing a multi-period robust optimization model considering American style options
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