A recursive procedure for selecting optimal portfolio according to the MAD model

Control and Cybernetics

Volumn 28, Issue 4, 1999, Pages 725-738

  Michalowski, Wojtek ^a   Ogryczak, Włodzimierz ^b  

^a INTERNATIONAL INSTITUTE FOR APPLIED SYSTEMS ANALYSIS   (Austria)

^b UNIVERSITY OF WARSAW   (Poland)

Author keywords

Downside risk aversion; Linear programming; Portfolio optimization

Indexed keywords

EID: 0033272222     PISSN: 03248569     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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