Mean-absolute deviation portfolio optimization model under transaction costs

Konno, H; Wijayanayake, Annie

Mean-absolute deviation portfolio optimization model under transaction costs

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posted on 2024-11-27, 04:03 authored by H Konno, Annie WijayanayakeAnnie Wijayanayake

Mean-absolute deviation portfolio optimization model under transaction costs

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DOI - Is version of https://doi.org/10.1016/S0453-4514(00)87111-2

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Yokosuka, Japan

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No

Language

Eng

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C1.1 Refereed article in a scholarly journal

Journal

Journal of the Operations Research Society of Japan

Volume

42

Pagination

422-435

ISSN

0453-4514

Issue

4

Publisher

The Operations Research Society of Japan

Publication URL

http://dx.doi.org/10.1016/s0453-4514(00)87111-2

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Mean-absolute deviation portfolio optimization model under transaction costs

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