Optimal portfolios using linear programming models
نویسندگان
چکیده
منابع مشابه
Optimal portfolios using linear programming models
The classical Quadratic Programming formulation of the well known portfolio selection problem, is cumbersome, time consuming and relies on two important assumptions: (a) the expected return is multivariate normally distributed; (b) the investor is risk averter. This paper formulates two alternative models, (i) maximin, and (ii) minimization of absolute deviation. Data from a very simple problem...
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ژورنال
عنوان ژورنال: Journal of the Operational Research Society
سال: 2004
ISSN: 0160-5682,1476-9360
DOI: 10.1057/palgrave.jors.2601765