A maximal predictability portfolio using absolute deviation reformulation
暂无分享,去创建一个
[1] Hiroshi Konno,et al. Minimization of the Ratio of Functions Defined as Sums of the Absolute Values , 2007 .
[2] A. Lo,et al. MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS , 1995, Macroeconomic Dynamics.
[3] Le Thi Hoai An,et al. Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems , 1995, Oper. Res. Lett..
[4] H. Konno,et al. A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION , 2007 .
[5] H. Konno,et al. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market , 1991 .
[6] Panos M. Pardalos,et al. Financial Engineering, E-commerce and Supply Chain , 2010 .
[7] E. Fama,et al. Common risk factors in the returns on stocks and bonds , 1993 .
[8] Panos M. Pardalos,et al. Global optimization of fractional programs , 1991, J. Glob. Optim..
[9] Hiroshi Konno,et al. Multi-step methods for choosing the best set of variables in regression analysis , 2010, Comput. Optim. Appl..
[10] Hiroshi Konno,et al. Choosing the best set of variables in regression analysis using integer programming , 2009, J. Glob. Optim..
[11] H. Konno,et al. An Efficient Algorithm for Solving Convex–Convex Quadratic Fractional Programs , 2007 .
[12] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .
[13] Abraham Charnes,et al. Programming with linear fractional functionals , 1962 .
[14] Hiroshi Konno,et al. Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope , 2001, Comput. Optim. Appl..