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  • Search: subject:"nonconvex minimization problem"
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Maximal predictability portfolio 2 absolute deviation 2 factor model 2 nonconvex minimization problem 2 0-1 integer programming 1 0–1 integer programming 1 fractional programming 1 transaction cost 1 turnover constraint 1
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Undetermined 2
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Article 2
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Undetermined 2
Author
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KONNO, HIROSHI 2 TAKAYA, YOSHIHIRO 2 YAMAMOTO, REI 1
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Asia-Pacific Journal of Operational Research (APJOR) 1 International Journal of Theoretical and Applied Finance (IJTAF) 1
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RePEc 2
Showing 1 - 2 of 2
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A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY
KONNO, HIROSHI; TAKAYA, YOSHIHIRO; YAMAMOTO, REI - In: International Journal of Theoretical and Applied … 13 (2010) 03, pp. 355-366
In this paper, we will propose a practical method for improving the performance of a maximal predictability portfolio (MPP) model proposed by Lo and MacKinlay and later extended by the authors. We will employ an alternative version of MPP using absolute deviation instead of variance as a measure...
Persistent link: https://www.econbiz.de/10008494376
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A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
TAKAYA, YOSHIHIRO; KONNO, HIROSHI - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 01, pp. 1-13
The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject...
Persistent link: https://www.econbiz.de/10008514994
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