The mean-absolute deviation portfolio selection problem with interval-valued returns
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Publication:548313
DOI10.1016/J.CAM.2011.03.008zbMATH Open1231.91409OpenAlexW2009589041MaRDI QIDQ548313FDOQ548313
Publication date: 28 June 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.03.008
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Optimality conditions and duality in mathematical programming (90C46) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)
Cites Work
- Large-Scale Portfolio Optimization
- Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
- A class of stochastic optimization problems with one quadratic \& several linear objective functions and extended portfolio selection model
- An Illustrative Application of Idea (Imprecise Data Envelopment Analysis) to a Korean Mobile Telecommunication Company
Cited In (17)
- Worst-case analysis of Gini mean difference safety measure
- Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
- A multiobjective optimization framework for optimal selection of supplier portfolio
- On interval portfolio selection problem
- A mathematical programming approach to sample coefficient of variation with interval-valued observations
- Uncertain portfolio selection with mental accounts and realistic constraints
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Uncertain portfolio selection with mental accounts
- Multiobjective efficient portfolio selection with bounded parameters
- Portfolio rebalancing model with transaction costs using interval optimization
- Fuzzy multi-period portfolio selection with different investment horizons
- Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
- An interval portfolio selection problem based on regret function
- Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
- Robust reward–risk ratio portfolio optimization
- Inverse portfolio problem with mean-deviation model
- Multi-period cardinality constrained portfolio selection models with interval coefficients
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