شماره ركورد كنفرانس
4781
عنوان مقاله
The robust mean-absolute deviation portfolio selection problem: ambiguity set approach
پديدآورندگان
Khanjani Shiraz Rashed 1School of Mathematics, University of Tabriz, Tabriz, Iran, , Fatholazadeh Abolfaz University of Mohaghegh Ardabili, Ardabil, Iran and Centralesupelec University, France
تعداد صفحه
5
كليدواژه
Portfolio selection , uncertain distribution , mean , absolute deviation , minimax , Robustness.
سال انتشار
1397
عنوان كنفرانس
يازدهمين كنفرانس بين المللي انجمن ايراني تحقيق در عمليات
زبان مدرك
انگليسي
چكيده فارسي
Conventional portfolio selection model is based on the restrictive assumption that the return have compelet information. However, the information available in the financial markets is often ambiguois. In this paper, we consider mean-absolute deviation portfolio selection models when the underlying probability distribution for returns is not perfectly known.
كشور
ايران
لينک به اين مدرک