A robust mean absolute deviation model for portfolio optimization
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Publication:632664
DOI10.1016/j.cor.2010.10.020zbMath1208.91137OpenAlexW2090926727MaRDI QIDQ632664
Publication date: 25 March 2011
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2010.10.020
Numerical methods (including Monte Carlo methods) (91G60) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Portfolio theory (91G10)
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