The mean-absolute deviation portfolio selection problem with interval-valued returns

DOI10.1016/j.cam.2011.03.008zbMath1231.91409OpenAlexW2009589041MaRDI QIDQ548313

Yong-Cai Geng, Sumit K. Garg

Publication date: 28 June 2011

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

Full work available at URL: https://doi.org/10.1016/j.cam.2011.03.008

zbMATH Keywords

riskportfolio selectionabsolute deviation functiontwo-level program

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10)

Related Items (14)

Portfolio rebalancing model with transaction costs using interval optimization ⋮ A mathematical programming approach to sample coefficient of variation with interval-valued observations ⋮ Uncertain portfolio selection with mental accounts and realistic constraints ⋮ Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters ⋮ Multiobjective efficient portfolio selection with bounded parameters ⋮ Fuzzy multi-period portfolio selection with different investment horizons ⋮ Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ A multiobjective optimization framework for optimal selection of supplier portfolio ⋮ Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints ⋮ Robust reward–risk ratio portfolio optimization ⋮ Worst-case analysis of Gini mean difference safety measure ⋮ Multi-period cardinality constrained portfolio selection models with interval coefficients ⋮ Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns ⋮ Uncertain portfolio selection with mental accounts

Cites Work

• A class of stochastic optimization problems with one quadratic \& several linear objective functions and extended portfolio selection model
• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
• Large-Scale Portfolio Optimization
• An Illustrative Application of Idea (Imprecise Data Envelopment Analysis) to a Korean Mobile Telecommunication Company

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