Mean-absolute deviation portfolio optimization problem

DOI10.1080/02522667.2007.10699781zbMath1153.91521OpenAlexW2017752316MaRDI QIDQ3534458

Khlipah Ibrahim, Anton Abdulbasah Kamil

Publication date: 3 November 2008

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.2007.10699781

zbMATH Keywords

linear programmingportfolio optimizationdownside risk

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Cites Work

• A model for portfolio selection with order of expected returns.
• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• A Minimax Portfolio Selection Rule with Linear Programming Solution

This page was built for publication: Mean-absolute deviation portfolio optimization problem