Integer programming approaches in mean-risk models

DOI10.1007/s10287-005-0038-9zbMath1128.91027OpenAlexW2078361282MaRDI QIDQ2493230

Rei Yamamoto, Hiroshi Konno

Publication date: 12 June 2006

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-005-0038-9

zbMATH Keywords

integer programmingportfolio optimizationinteger constraintsmean-absolute deviation model

Mathematics Subject Classification ID

Integer programming (90C10) Portfolio theory (91G10)

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