Portfolio optimization of small scale fund using mean-absolute deviation model

International Journal of Theoretical and Applied Finance

Volumn 6, Issue 4, 2003, Pages 403-418

  Konno, Hiroshi ^a  

^a CHUO UNIVERSITY   (Japan)

Author keywords

Branch and bound algorithm; Concave transaction cost; Mean absolute deviation model; Minimal transaction unit constraint; Small fund

Indexed keywords

EID: 0142118633     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024903001979     Document Type: Article

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