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Mean–Absolute Deviation Model
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Mean–Absolute Deviation Model (2010)Mean–Absolute Deviation ModelPortfolio Optimization under Lower Partial Risk Measures (2002)Portfolio Optimization under …Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (2001)Portfolio optimization proble…On consistency of stochastic dominance and mean–semideviation models (2001)On consistency of stochastic …MEAN-ABSOLUTE DEVIATION PORTFOLIO OPTIMIZATION MODEL UNDER TRANSACTION COSTS (1999)MEAN-ABSOLUTE DEVIATION PORTF…From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Formulation of the Russell-Ya…Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model (1997)Estimation Risk in Portfolio …Asset/liability management under uncertainty for fixed-income securities (1995)Asset/liability management un…Mean-absolute deviation portfolio optimization for mortgage-backed securities (1993)Mean-absolute deviation portf…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION (1990)PIECEWISE LINEAR RISK FUNCTIO…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…A Linear Alternative to Quadratic and Semivariance Programming for Farm Planning under Uncertainty (1971)A Linear Alternative to Quadr…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Mean–Variance Optimization for Asset Allocation (2021)Mean–Variance Optimization fo…Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty (2016)Random fuzzy mean-absolute de…A Review of Goal Programming for Portfolio Selection (2010)A Review of Goal Programming …Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)The Efficiency Analysis of Choices Involving Risk (1969)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Portfolio optimization with stochastic dominance constraints (2005)Conditional Risk Mappings (2006)Conditional value at risk and related linear programming models for portfolio optimization (2006)Modern Portfolio Theory and Investment Analysis. (1982)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio Theory and Capital Markets. (1972)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Simulated annealing for complex portfolio selection problems (2003)Portfolio optimization with linear and fixed transaction costs (2006)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Local Search Techniques for Constrained Portfolio Selection Problems (2002)Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)Liquidity Preference as Behavior Towards Risk (1958)Operations Research Models and the Management of Agricultural and Forestry Resources: A Review and Comparison (2006)Agribusiness supply chain risk management: A review of quantitative decision models (2017)A multi-criteria decision-making framework for agriculture supply chain risk management under a circular economy context (2019)Theory of games and economic behavior (2019)Stochastic Programming (1995)Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model (1998)Dynamic stochastic programmingfor asset-liability management (1998)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)Stochastic Programming (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 1971A Linear Alternative to Quadratic and Semivariance Programming for Farm Planning under Uncertainty439 cited
  • 1984Large-Scale Portfolio Optimization416 cited
  • 2001On consistency of stochastic dominance and mean–semideviation models257 cited
  • 1997Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model205 cited
  • 1998Formulation of the Russell-Yasuda Kasai Financial Planning Model202 cited
  • 2001Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints193 cited
  • 1990PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION173 cited
  • 1995Asset/liability management under uncertainty for fixed-income securities101 cited
  • 1993Mean-absolute deviation portfolio optimization for mortgage-backed securities93 cited

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  • 2002Portfolio Optimization under Lower Partial Risk Measures74 cited
  • 1999MEAN-ABSOLUTE DEVIATION PORTFOLIO OPTIMIZATION MODEL UNDER TRANSACTION COSTS72 cited
  • Cited by

    • 2016Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty46 cited
    • 2010A Review of Goal Programming for Portfolio Selection45 cited
    • 2021Mean–Variance Optimization for Asset Allocation31 cited