Dynamic optimal portfolio with maximum absolute deviation model
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References listed on IDEAS
- Yu, Mei & Takahashi, Satoru & Inoue, Hiroshi & Wang, Shouyang, 2010. "Dynamic portfolio optimization with risk control for absolute deviation model," European Journal of Operational Research, Elsevier, vol. 201(2), pages 349-364, March.
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KeywordsPortfolio optimization; Dynamic programming; Maximum absolute deviation; 91B28; 49L20; 90C05;
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