Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
Year of publication: |
1991
|
---|---|
Authors: | Konno, Hiroshi ; Yamazaki, Hiroaki |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 37.1991, 5, p. 519-531
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | portfolio optimization | L1 risk function | linear programming | Markowitz's model | single-factor model |
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