A robust mean absolute deviation model for portfolio optimization
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Publication:632664
DOI10.1016/J.COR.2010.10.020zbMATH Open1208.91137OpenAlexW2090926727MaRDI QIDQ632664FDOQ632664
Authors: Yongma Moon, Tao Yao 
Publication date: 25 March 2011
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2010.10.020
Recommendations
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
Cites Work
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Cited In (23)
- Worst-case analysis of Gini mean difference safety measure
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
- PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL
- Portfolio optimization model with and without options under additional constraints
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- Robust investment decisions under supply disruption in petroleum markets
- Robust portfolio selection problem under temperature uncertainty
- A Study on Portfolio Selection Based on Fuzzy Linear Programming
- Hybrid adaptive large neighborhood search for the optimal statistic median problem
- Omega-CVaR portfolio optimization and its worst case analysis
- Robust multi-product newsvendor model with uncertain demand and substitution
- Robust enhanced indexation optimization with sparse industry Layout constraint
- Robust conditional expectation reward-risk performance measures
- Recent advances in robust optimization: an overview
- Robust portfolio optimization: a categorized bibliographic review
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- A portfolio choice model based on the modified mean-absolute deviation
- Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
- Robust reward–risk ratio portfolio optimization
- Modeling Defender-Attacker Problems as Robust Linear Programs with Mixed-Integer Uncertainty Sets
- A brief overview of interdiction and robust optimization
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
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