The mean-absolute deviation portfolio selection problem with interval-valued returns

DOI10.1016/j.cam.2011.03.008zbMath1231.91409MaRDI QIDQ548313

Yong-Cai Geng, Sumit K. Garg

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

zbMATH Keywords

risk; portfolio selection; absolute deviation function; two-level program

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

90C46: Optimality conditions and duality in mathematical programming

91G10: Portfolio theory