A maximal predictability portfolio using absolute deviation reformulation
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Publication:2655748
DOI10.1007/s10287-008-0075-2zbMath1187.91202OpenAlexW2015588160MaRDI QIDQ2655748
Yuuhei Morita, Rei Yamamoto, Hiroshi Konno
Publication date: 26 January 2010
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-008-0075-2
fractional programmingportfolio optimizationabsolute deviation0--1 mixed integer programmingmaximal predictability portfolio
Related Items (5)
A maximum entropy method for a robust portfolio problem ⋮ Convex optimization approaches to maximally predictable portfolio selection ⋮ Small positive values for supercritical branching processes in random environment ⋮ Bandlimited spaces on some 2-step nilpotent Lie groups with one Parseval frame generator ⋮ A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY
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