1 |
H. Markowitz, "Portfolio Selection," Journal of Finance, Vol. 7, No. 1, pp. 77-91, Mar. 1952, https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
DOI
|
2 |
C. L. Lee, "The Strengths and Limitations of Risk Measures in Real Estimate: A Review," Malaysian Journal of Real Estate, Vol. 1, No. 1, pp. 68-74, 2006.
|
3 |
W. A. Thorp, "Mean Variance Optimization," Computer Investing, http://www.aaii.com/computerizedinvesting/article/mean-variance-optimization, Third Quarter, 2011.
|
4 |
L. W. Hoe, J. S. Hafizah, and I. Zaidi, "An Empirical Comparison of Different Risk Measures in Portfolio Optimization," Business and Economic Horizons, Vol. 1, No. 1, pp. 39-45, Apr. 2010, https://doi.org/10.22004/ag.econ.95934
DOI
|
5 |
S. H. Jaaman, W. H. Lam and L. Z. Isa, "Risk Measures and Portfolio Construction in Different Economic Scenarios," Sains Malaysiana, Vol. 42, No. 6, pp. 875-880, Jun. 2013.
|
6 |
H. Kanno and H. Yamazaki, "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, Vol. 37, No. 5, pp. 519-531, May 1991, https://doi.org/10.1287/mnsc.37.5.519
DOI
|
7 |
M. Young, "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, Vol. 44, No. 5, pp. 673-683, May 1998, https://doi.org/10.1287/mnsc.44.5.673
DOI
|
8 |
K. L. Teo and X. Q. Yang, "Portfolio Selection Problem with Minimax Type Risk Function," Annals of Operations Research, Vol. 101, No. 1-4, pp. 333-349, Jan. 2001, https://doi.org/ 10.1023/A:1010909632198
DOI
|
9 |
P. Urbani, "Mean-Absolute Deviation(MAD) Portfolio Optimization in Excel and VBA," http://www.academia.edu/11074736/Mean_Absolute_Deviation_MAD_Portfolio_Optimization_in_Excel_and_VBA, 2017.
|
10 |
W. A. Thorp, "Mean Variance Optimization," Computer Investing, http://www.aaii.com/computerizedinvesting/article/mean-variance-optimization-multi-asset-portfolio, Fourth Quarter, 2011.
|