Mei Yu, Satoru Takahashi, Hiroshi Inoue, Shouyang Wang. Dynamic portfolio optimization with risk control for absolute deviation model. European Journal of Operational Research, 201(2):349-364, 2010. [doi]
@article{YuTIW10,
title = {Dynamic portfolio optimization with risk control for absolute deviation model},
author = {Mei Yu and Satoru Takahashi and Hiroshi Inoue and Shouyang Wang},
year = {2010},
doi = {10.1016/j.ejor.2009.03.009},
url = {http://dx.doi.org/10.1016/j.ejor.2009.03.009},
tags = {optimization},
researchr = {https://researchr.org/publication/YuTIW10},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {201},
number = {2},
pages = {349-364},
}