Computer solution of linear programs
Computer solution of linear programs
Stochastic dominance and expected utility: survey and analysis
Management Science
Mean-absolute deviation portfolio optimization for mortgage-backed securities
Annals of Operations Research
A Minimax Portfolio Selection Rule with Linear Programming Solution
Management Science
Heuristics for cardinality constrained portfolio optimisation
Computers and Operations Research
Dual Stochastic Dominance and Related Mean-Risk Models
SIAM Journal on Optimization
On Fuzzy Driven Support for SD-Efficient Portfolio Selection
ICANNGA '07 Proceedings of the 8th international conference on Adaptive and Natural Computing Algorithms, Part I
Models and Simulations for Portfolio Rebalancing
Computational Economics
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The Markowitz model for single period portfolio optimization quantifies the problem by means of only two criteria: the mean, representing the expected outcome, and the risk, a scalar measure of the variability of outcomes. The classical Markowitz model uses the variance as the risk measure, thus resulting in a quadratic optimization problem. Following Sharpe's work on linear approximation to the mean-variance model, many attempts have been made to linearize the portfolio optimization problem. There were introduced several alternative risk measures which are computationally attractive as (for discrete random variables) they result in solving Linear Programming (LP) problems. The LP solvability is very important for applications to real-life financial decisions where the constructed portfolios have to meet numerous side constraints and take into account transaction costs. This paper provides a systematic overview of the LP solvable models with a wide discussion of their properties.