An algorithm for portfolio selection in a frictional market

Applied Mathematics and Computation

Volumn 182, Issue 2, 2006, Pages 1629-1638

  Liu, Mingming ^a   Gao, Yan ^a  

^a UNIVERSITY OF SHANGHAI FOR SCIENCE AND TECHNOLOGY   (China)

Author keywords

MAD model; Optimization; Portfolio selection

Indexed keywords

CONSTRAINT THEORY; LINEAR PROGRAMMING; NUMERICAL METHODS; OPTIMIZATION; PROBLEM SOLVING; RISK ASSESSMENT;

FRICTIONAL MARKET; MEAN ABSOLUTE DEVIATION (MAD) MODELS; OPTIMIZATION PROBLEMS; PORTFOLIO SELECTION;

ALGORITHMS;

EID: 33751505851     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2006.05.048     Document Type: Article

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