Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
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- Giloni, Avi & Simonoff, Jeffrey S. & Sengupta, Bhaskar, 2006. "Robust weighted LAD regression," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3124-3140, July.
- Trzpiot Grażyna, 2012. "Selected Robust Methods for Camp Model Estimation," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 12(2), pages 58-71, December.
- W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis.
- 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.
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- repec:spr:joptap:v:175:y:2017:i:1:d:10.1007_s10957-017-1165-5 is not listed on IDEAS
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