An algorithm for portfolio selection in a frictional market

DOI10.1016/j.amc.2006.05.048zbMath1152.91533OpenAlexW2083702374MaRDI QIDQ858833

Yan Gao, Mingming Liu

Publication date: 11 January 2007

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

Full work available at URL: https://doi.org/10.1016/j.amc.2006.05.048

zbMATH Keywords

optimizationportfolio selectionMAD model

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

An integrated multi-objective framework for solving multi-period project selection problems ⋮ A note on a minimax rule for portfolio selection and equilibrium price system ⋮ Particle swarm optimization approach to portfolio optimization

Cites Work

• Duality for portfolio optimization with short sales
• Portfolio Optimization Under a Minimax Rule
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
• Portfolio selection problem with minimax type risk function

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