Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
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Publication:4282290
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Cited in
(37)- Portfolio optimization model with and without options under additional constraints
- Portfolio optimization model with transaction costs.
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- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- Robust reward–risk ratio portfolio optimization
- 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
- A modified goal programming approach for the mean-absolute deviation portfolio optimization model
- Optimality conditions in portfolio analysis with general deviation measures
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