Mean-absolute deviation portfolio optimization problem

DOI10.1080/02522667.2007.10699781zbMATH Open1153.91521OpenAlexW2017752316MaRDI QIDQ3534458FDOQ3534458

Authors: Khlipah Ibrahim, Anton Abdulbasah Kamil 

Publication date: 3 November 2008

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.2007.10699781

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zbMATH Keywords

linear programmingportfolio optimizationdownside risk

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Cites Work

• A model for portfolio selection with order of expected returns.
• A minimax portfolio selection rule with linear programming solution
• Extending the MAD portfolio optimization model to incorporate downside risk aversion

Cited In (9)

• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
• PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL
• Stochastic optimization for portfolio selection problem with mean absolute negative deviation measure
• Title not available (Why is that?)
• An algorithm for portfolio selection in a frictional market
• Mean absolute negative deviation measure for portfolio selection problem
• Title not available (Why is that?)
• Inverse portfolio problem with mean-deviation model
• Title not available (Why is that?)

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