An integrated stock-bond portfolio optimization model

DOI10.1016/S0165-1889(97)00033-XzbMath0901.90014MaRDI QIDQ1391444

Katsunari Kobayashi, Hiroshi Konno

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

portfolio choiceasset allocationmean-absolute deviation modelstock-bond model

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Quadratic programming (90C20) Linear programming (90C05) Portfolio theory (91G10)

Related Items

Risk, Return and International Portfolio Analysis: Entropy and Linear Belief Functions ⋮ Studies on a general stock-bond integrated portfolio optimization model ⋮ An integrated stock-bond portfolio optimization model ⋮ The optimal portfolio problem with coherent risk measure constraints. ⋮ Multi-period stochastic portfolio optimization: block-separable decomposition ⋮ Stock market prediction and portfolio selection models: a survey

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