A maximal predictability portfolio using absolute deviation reformulation
| Year of publication: |
2010
|
|---|---|
| Authors: | Konno, Hiroshi ; Morita, Yuuhei ; Yamamoto, Rei |
| Published in: |
Computational Management Science. - Springer. - Vol. 7.2010, 1, p. 47-60
|
| Publisher: |
Springer |
| Subject: | Portfolio optimization | Maximal predictability portfolio | Absolute deviation | Fractional programming | 0–1 mixed integer programming |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008458191