PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL

DOI10.1142/S0219024903001979zbMath1079.91035MaRDI QIDQ5696859

Hiroshi Konno

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

branch and bound algorithmmean-absolute deviation modelconcave transaction costminimal transaction unit constraintsmall fund

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10)

Related Items (1)

An exact algorithm for factor model in portfolio selection with roundlot constraints

Cites Work

• Products of trees for investment analysis
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems
• Large-Scale Portfolio Optimization
• Mean-absolute deviation portfolio optimization model under transaction costs

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