An algorithm for portfolio selection in a frictional market

DOI10.1016/J.AMC.2006.05.048zbMATH Open1152.91533OpenAlexW2083702374MaRDI QIDQ858833FDOQ858833

Authors: Mingming Liu, Yan Gao 

Publication date: 11 January 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.05.048

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zbMATH Keywords

optimizationportfolio selectionMAD model

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
• Portfolio optimization under a minimax rule
• Portfolio selection problem with minimax type risk function
• Duality for portfolio optimization with short sales

Cited In (8)

• Title not available (Why is that?)
• Mean-absolute deviation portfolio models with discrete choice constraints
• Title not available (Why is that?)
• A note on a minimax rule for portfolio selection and equilibrium price system
• An integrated multi-objective framework for solving multi-period project selection problems
• A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)
• Particle swarm optimization approach to portfolio optimization
• Title not available (Why is that?)

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