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  • Search: subject:"Mean-absolute deviation model"
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Year of publication
Subject
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Portfolio selection 2 Portfolio-Management 2 Asset allocation 1 Beta risk 1 Betafaktor 1 CAPM 1 Electric power industry 1 Elektrizitätswirtschaft 1 Fuzzy sets 1 Fuzzy-Set-Theorie 1 Integrated portfolio optimization 1 Mathematical programming 1 Mathematische Optimierung 1 Mean-absolute deviation model 1 Portfolio optimization 1 Risky bonds 1 Theorie 1 Theory 1 asset management 1 conditional mean-absolute deviation model 1 factor investing 1 fuzzy sets theory 1 integer constraints 1 integer programming 1 market phase information 1 mean-absolute deviation model 1 optimal power generation mix 1 portfolio analysis 1 portfolio optimisation 1 semi-mean-absolute deviation model 1 smart beta 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 2
Author
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Konno, Hiroshi 2 Yamamoto, Rei 2 Glensk, Barbara 1 Kato, Koji 1 Madlener, Reinhard 1
Published in...
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Computational Management Science 2 FCN working paper 1 International journal of portfolio analysis and management : IJPAM 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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An efficient equity investing model using smart beta based on market phase information
Yamamoto, Rei - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 224-237
Persistent link: https://www.econbiz.de/10012595946
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Fuzzy portfolio optimization for power generation assets
Glensk, Barbara; Madlener, Reinhard - 2018 - Revised
Persistent link: https://www.econbiz.de/10011596658
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Studies on a general stock-bond integrated portfolio optimization model
Kato, Koji; Konno, Hiroshi - In: Computational Management Science 4 (2007) 1, pp. 41-57
Persistent link: https://www.econbiz.de/10005370532
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Integer programming approaches in mean-risk models
Konno, Hiroshi; Yamamoto, Rei - In: Computational Management Science 4 (2005) 4, pp. 339-351
This paper is concerned with porfolio optimization problems with integer constraints. Such problems include, among others mean-risk problems with nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints on the number of assets in a portfolio. These problems,...
Persistent link: https://www.econbiz.de/10005370535
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