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A mean-absolute deviation-skewness portfolio optimization model

✍ Scribed by Hiroshi Konno; Hiroshi Shirakawa; Hiroaki Yamazaki


Book ID
112723811
Publisher
Springer US
Year
1993
Tongue
English
Weight
739 KB
Volume
45
Category
Article
ISSN
0254-5330

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The mean-absolute deviation portfolio se
✍ Shiang-Tai Liu πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 217 KB

## a b s t r a c t In real-world investments, one may care more about the future earnings than the current earnings of the assets. This paper discusses the uncertain portfolio selection problem where the asset returns are represented by interval data. Since the parameters are interval valued, the g