A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
Author:
Publisher
Elsevier BV
Subject
Management Science and Operations Research,Modelling and Simulation,General Computer Science
Reference8 articles.
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3. A linear programming approximation for the general portfolio analysis problem;Sharpe;J. Financ. Quant. Anal.,1971
4. A linear programming formulation of the general portfolio selection problem;Stone;J. Financ. Quant. Anal.,1973
5. Mean absolute deviation portfolio optimization model and its applications to Tokyo stock market;Konno;Mgmt Sci.,1991
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