Chau Li, Wan; Wu, Yue; Ojiako, Udechukwu - In: Journal of Modelling in Management 9 (2014) 1, pp. 36-57
Purpose – The purpose of this paper is to analyse and compare the performances of portfolio optimisation models including Markowitz's mean-variance model (MV model), Konno and Yamazaki's mean-absolute deviation portfolio optimisation model (MAD model), Young's minimax portfolio model and the...