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MEAN-ABSOLUTE DEVIATION PORTFOLIO OPTIMIZATION MODEL UNDER TRANSACTION COSTS

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References

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2008Metaheuristics for the Portfolio Selection Problem64 cited
2010Mean–Absolute Deviation Model55 cited
2002Risk Management for Hedge Fund Portfolios50 cited
2016Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty46 cited
2002Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints44 cited
2005Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost43 cited
2005Global Optimization Versus Integer Programming in Portfolio Optimization under Nonconvex Transaction Costs37 cited
2005On Extending the LP Computable Risk Measures to Account Downside Risk31 cited

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