A modified goal programming approach for the mean-absolute deviation portfolio optimization model

DOI10.1016/j.amc.2005.01.072zbMath1123.91023OpenAlexW2065162312MaRDI QIDQ814748

Ching-Ter Chang

Publication date: 7 February 2006

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

Full work available at URL: https://doi.org/10.1016/j.amc.2005.01.072

zbMATH Keywords

PortfolioGoal programming

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (4)

Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory ⋮ Mean-risk model for uncertain portfolio selection with background risk and realistic constraints ⋮ Portfolio optimization model with and without options under additional constraints ⋮ Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case

Uses Software

• LINDO

Cites Work

• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model

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