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Mean-absolute deviation portfolio optimization for mortgage-backed securities

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References

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1994Capturing the Correlations of Fixed-income Instruments65 cited
2010Mean–Absolute Deviation Model55 cited
2001Extending the MAD portfolio optimization model to incorporate downside risk aversion54 cited
1996Robust optimization models for managing callable bond portfolios49 cited
2016Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty46 cited
2001Integrated simulation and optimization models for tracking international fixed income indices

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44 cited

2005Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost43 cited

2003Applying Operations Research Techniques to Financial Markets35 cited

2021Portfolio Optimization with a Mean–Absolute Deviation–Entropy Multi-Objective Model35 cited

1997An integrated stock-bond portfolio optimization model35 cited

2016Optimal portfolios with downside risk35 cited

2008Enterprise-wide asset and liability management: Issues, institutions, and models26 cited