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Dynamic optimal portfolio with maximum absolute deviation model

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  • Mei Yu
  • Shouyang Wang

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  • Mei Yu & Shouyang Wang, 2012. "Dynamic optimal portfolio with maximum absolute deviation model," Journal of Global Optimization, Springer, vol. 53(2), pages 363-380, June.
    • Handle: RePEc:spr:jglopt:v:53:y:2012:i:2:p:363-380
    DOI: 10.1007/s10898-012-9887-2
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    References listed on IDEAS

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    1. Xiaoqiang Cai & Kok-Lay Teo & Xiaoqi Yang & Xun Yu Zhou, 2000. "Portfolio Optimization Under a Minimax Rule," Management Science, INFORMS, vol. 46(7), pages 957-972, July.
    2. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
    3. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    4. Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January.
    5. 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.
    6. VAN MOESEKE, Paul, 1965. "Stochastic linear programming: A study in resource allocation under risk," LIDAM Reprints CORE 1, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
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