Dynamic optimal portfolio with maximum absolute deviation model

DOI10.1007/s10898-012-9887-2zbMath1250.91096OpenAlexW2151950358MaRDI QIDQ454257

Mei Yu, Shou-Yang Wang

Publication date: 1 October 2012

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-012-9887-2

zbMATH Keywords

dynamic programmingportfolio optimizationmaximum absolute deviation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear programming (90C05) Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

An optimization model for minimizing systemic risk ⋮ Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints ⋮ Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric ⋮ MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints

Cites Work

• Unnamed Item
• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• Dynamic portfolio optimization with risk control for absolute deviation model
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Portfolio Optimization Under a Minimax Rule
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• PORTFOLIOS WITH RESERVE COEFFICIENT
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Efficient and optimal portfolios by homogeneous programming
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Portfolio selection problem with minimax type risk function