A mean-absolute deviation-skewness portfolio optimization model.
Hiroshi KonnoHiroshi ShirakawaHiroaki YamazakiPublished in: Ann. Oper. Res. (1993)
Keyphrases
- optimization model
- portfolio selection
- standard deviation
- optimization process
- portfolio optimization
- portfolio management
- network flow
- prediction error
- decision making
- construction project
- transaction costs
- optimal portfolio
- robust optimization
- market data
- decision trees
- optimization algorithm
- optimization problems
- differential evolution algorithm
- evolutionary algorithm
- expert systems
- information retrieval
- partner selection