Mean absolute negative deviation measure for portfolio selection Problem

DOI10.1080/09720502.2010.10700718zbMath1220.91035OpenAlexW2029257676WikidataQ57932251 ScholiaQ57932251MaRDI QIDQ3008594

Khlipah Ibrahim, Adli Mustafa, Anton Abdulbasah Kamil

Publication date: 22 June 2011

Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/900605H_jim353_523-539A.pdf

zbMATH Keywords

portfolio optimizationstochastic linear programmingdeviation measuremean absolute negative deviation

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Cites Work

• Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model
• Linear Programming under Uncertainty
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Optimization of Convex Risk Functions
• Safety First and the Holding of Assets

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