Semi-absolute deviation rule for mutual funds portfolio selection

Semi-absolute deviation rule for mutual funds portfolio selection

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Article ID: iaor20042470
Country: Netherlands
Volume: 124
Issue: 1
Start Page Number: 245
End Page Number: 265
Publication Date: Nov 2003
Journal: Annals of Operations Research
Authors: , ,
Keywords: portfolio management
Abstract:

Investors consider mutual funds as an interesting investment opportunity. This is the result of the impressive growth shown by these financial products in recent times. In this paper we propose a mixed integer linear programming model dealing with the portfolio selection problem on mutual funds in a single period investment strategy. We propose some heuristics and compare their performance. According to the results obtained on real instances, heuristics have proved to be effective and efficient.

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