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Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection

Author

Listed:
  • Luca Chiodi
  • Renata Mansini
  • Maria Speranza

Abstract

Investors consider mutual funds as an interesting investment opportunity. This is the result of the impressive growth shown by these financial products in recent times. In this paper we propose a mixed integer linear programming model dealing with the portfolio selection problem on mutual funds in a single period investment strategy. We propose some heuristics and compare their performance. According to the results obtained on real instances, heuristics have proved to be effective and efficient. Copyright Kluwer Academic Publishers 2003

Suggested Citation

  • Luca Chiodi & Renata Mansini & Maria Speranza, 2003. "Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection," Annals of Operations Research, Springer, vol. 124(1), pages 245-265, November.
    • Handle: RePEc:spr:annopr:v:124:y:2003:i:1:p:245-265:10.1023/b:anor.0000004772.15447.5a
    DOI: 10.1023/B:ANOR.0000004772.15447.5a
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    Citations

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    Cited by:

    1. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2011. "Portfolio selection problems in practice: a comparison between linear and quadratic optimization models," Papers 1105.3594, arXiv.org.
    2. Angelelli, Enrico & Mansini, Renata & Speranza, M. Grazia, 2008. "A comparison of MAD and CVaR models with real features," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1188-1197, July.
    3. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
    4. Vanita Garg & Kusum Deep, 2019. "Portfolio optimization using Laplacian biogeography based optimization," OPSEARCH, Springer;Operational Research Society of India, vol. 56(4), pages 1117-1141, December.
    5. Madlener, Reinhard & Glensk, Barbara & Weber, Veronika, 2011. "Fuzzy Portfolio Optimization of Onshore Wind Power Plants," FCN Working Papers 10/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Jul 2014.
    6. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
    7. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    8. Raghu Nandan Sengupta & Rachit Seth & Peter Winker, 2023. "Reliability in Portfolio Optimization using Uncertain Estimates," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 199-233, May.
    9. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
    10. Enrico Angelelli & Renata Mansini & M. Speranza, 2012. "Kernel Search: a new heuristic framework for portfolio selection," Computational Optimization and Applications, Springer, vol. 51(1), pages 345-361, January.
    11. Gianfranco Guastaroba & Renata Mansini & M. Speranza, 2009. "Models and Simulations for Portfolio Rebalancing," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 237-262, April.
    12. Ghahtarani, Alireza & Najafi, Amir Abbas, 2013. "Robust goal programming for multi-objective portfolio selection problem," Economic Modelling, Elsevier, vol. 33(C), pages 588-592.
    13. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
    14. Patrizia Beraldi & Antonio Violi & Massimiliano Ferrara & Claudio Ciancio & Bruno Antonio Pansera, 2021. "Dealing with complex transaction costs in portfolio management," Annals of Operations Research, Springer, vol. 299(1), pages 7-22, April.
    15. Garud Iyengar & Alfred Ma, 2013. "Fast gradient descent method for Mean-CVaR optimization," Annals of Operations Research, Springer, vol. 205(1), pages 203-212, May.

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