Optimal portfolios using linear programming models
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- C Papahristodoulou & E Dotzauer, 2004. "Optimal portfolios using linear programming models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 55(11), pages 1169-1177, November.
References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- 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.
- Leon, T. & Liern, V. & Vercher, E., 2002. "Viability of infeasible portfolio selection problems: A fuzzy approach," European Journal of Operational Research, Elsevier, vol. 139(1), pages 178-189, May.
- Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
- Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bartosz Kaszuba, 2012. "Empirical Comparison of Robust Portfolios’ Investment Effects," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(1), pages 047-061, June.
- Li, Xiang & Qin, Zhongfeng, 2014. "Interval portfolio selection models within the framework of uncertainty theory," Economic Modelling, Elsevier, vol. 41(C), pages 338-344.
- Ghahtarani, Alireza & Najafi, Amir Abbas, 2013. "Robust goal programming for multi-objective portfolio selection problem," Economic Modelling, Elsevier, vol. 33(C), pages 588-592.
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KeywordsFinance; linear programming; investment analysis; risk analysis;
- G - Financial Economics
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