Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection
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DOI: 10.1023/B:ANOR.0000004772.15447.5a
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- 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.
- 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.
- 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.
- Cristiano Arbex Valle, 2024. "Portfolio optimisation: bridging the gap between theory and practice," Papers 2407.00887, arXiv.org, revised Sep 2024.
- Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
- Ghahtarani, Alireza & Najafi, Amir Abbas, 2013. "Robust goal programming for multi-objective portfolio selection problem," Economic Modelling, Elsevier, vol. 33(C), pages 588-592.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
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Keywords
portfolio selection problem; mutual funds; heuristics;All these keywords.
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