Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
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Publication:4282290
DOI10.1287/MNSC.39.12.1552zbMATH Open0796.90002OpenAlexW2117687469MaRDI QIDQ4282290FDOQ4282290
Authors: Charles D. Feinstein, Mukund N. Thapa 
Publication date: 24 March 1994
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.39.12.1552
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- Optimization of a long-short portfolio under nonconvex transaction cost
- An exact algorithm for factor model in portfolio selection with roundlot constraints
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- A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
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- Goal programming models and their duality relations for use in evaluating security portfolio and regression relations
- Portfolio construction on the Athens stock exchange: a multiobjective optimization approach
- A large-scale optimization model for replicating portfolios in the life insurance industry
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- Dynamic optimal portfolio with maximum absolute deviation model
- Viability of infeasible portfolio selection problems: A fuzzy approach
- Neural network-based mean-variance-skewness model for portfolio selection
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Fuzzy multi-period portfolio selection with different investment horizons
- Stock market prediction and portfolio selection models: a survey
- Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- A nonlinear interval portfolio selection model and its application in banks
- Equity portfolio construction and selection using multiobjective mathematical programming
- IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection
- Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Robust reward–risk ratio portfolio optimization
- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- A new decision-making method for stock portfolio selection based on computing with linguistic assessment
- On extending the LP computable risk measures to account downside risk
- A maximal predictability portfolio using absolute deviation reformulation
- Dynamic portfolio management under competing representations
- Extending the MAD portfolio optimization model to incorporate downside risk aversion
- Optimality conditions in portfolio analysis with general deviation measures
- A modified goal programming approach for the mean-absolute deviation portfolio optimization model
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