Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization
In this paper, we study the cardinality constrained mean-absolute deviation portfolio optimization problem with risk-neutral interest rate and short-selling. We enhance the model by adding extra constraints to avoid investing in those stocks without short-selling positions. Also, we further enhance...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
International Academic Press
2022
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |