Mean-absolute deviation portfolio optimization for mortgage-backed securities.

Stavros A. Zenios Pan Kang

Published in: Ann. Oper. Res. (1993)

Keyphrases

portfolio optimization
portfolio management
stock market
sharpe ratio
portfolio selection
problems involving
factor analysis
bi objective
stock price
robust optimization
risk management
optimization methods
financial markets
stock exchange
genetic algorithm
transaction costs
test bed
multistage
data warehouse