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Dynamic optimal portfolio with maximum absolute deviation model

โœ Scribed by Mei Yu, Shouyang Wang

Book ID
113071169
Publisher
Springer US
Year
2012
Tongue
English
Weight
213 KB
Volume
53
Category
Article
ISSN
0925-5001

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The mean-absolute deviation portfolio se
The mean-absolute deviation portfolio selection problem with interval-valued returns
โœ Shiang-Tai Liu ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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