An algorithm for portfolio selection in a frictional market
نویسندگان
چکیده
Absolute deviation is utilized as a measure of risk and a new function is provided for it. We consider the mean-absolute deviation (MAD) portfolio optimization problem in a frictional market with additional constraints representing the socalled short sales. An algorithm for solving the optimization problem is thus presented, which uses the special structure of the original problem to reduce to a linear programming. The numerical test shows the validity of the method. 2006 Elsevier Inc. All rights reserved.
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عنوان ژورنال:
- Applied Mathematics and Computation
دوره 182 شماره
صفحات -
تاریخ انتشار 2006