Mean-absolute deviation model
Author:
Publisher
Informa UK Limited
Subject
Industrial and Manufacturing Engineering
Link
http://www.tandfonline.com/doi/pdf/10.1080/07408170591007786
Reference26 articles.
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2. Konno, H. and Yamamoto, R. (2003) Minimal concave cost rebalance of a portfolio to the efficient frontier Mathematical Programming Series B, 97, pp. 571 - 585. [CROSSREF]
3. Konno, H. and Yamazaki, H. (1991) Mean-absolute deviation portfolio optimization model and its applications to the Tokyo Stock Market Management Science, 37, pp. 519 - 531.
4. Markowitz, H.(1959) Portfolio Selection; Efficient Diversification of Investment. New York : Wiley.
5. Ogryczak, O. and Ruszczynski, A. (1999) From stochastic dominance to mean-risk model European Journal of Operational Research, 116, pp. 33 - 50. [CROSSREF]
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