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

DOI10.1016/J.CAM.2011.03.008MaRDI QIDQ548313zbMATH OpenOpenAlexFDO

Authors 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

riskportfolio selectionabsolute deviation functiontwo-level program

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Recommendations

• On interval portfolio selection problem
• Mean-absolute deviation portfolio selection model with fuzzy returns
• An interval linear programming approach for portfolio selection model
• Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
• A portfolio selection model based on the interval number

Cites work

• 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
• Large-Scale Portfolio Optimization
• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management

Cited in

(18)

• 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
• Multiobjective efficient portfolio selection with bounded parameters
• Uncertain portfolio selection with mental accounts
• 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
• An interval linear programming approach for portfolio selection model
• Robust reward–risk ratio portfolio optimization
• Inverse portfolio problem with mean-deviation model
• Multi-period cardinality constrained portfolio selection models with interval coefficients

This page was built for publication: The mean-absolute deviation portfolio selection problem with interval-valued returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q548313)