The Modified Mean Absolute Deviation Integer Linear Programming Model for Global Portfolio Asset Allocation
This study develops a practical yet robust Mean Absolute Deviation (MAD) Mixed-Integer Linear Programming (MILP) model for a global investment portfolio tailored to the constraints faced by Malaysian retail investors, such as transactional fees and foreign currency exchange spreads, to provide more...
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| Main Authors: | , |
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| Format: | Article |
| Language: | en |
| Published: |
UUM Press
2024
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/32345/1/JCIA%2003%2002%202024%201-25.pdf https://repo.uum.edu.my/id/eprint/32345/ https://e-journal.uum.edu.my/index.php/jcia/ |
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