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- W2380231657 abstract "The capital market has a key feature of uncertainty.To measure the risks induced by uncertainties,we proposed a new function based on absolute deviation function.Considering a frictional market,the mean-absolute deviation(MAD) model is constructed.The special structure of the model is utilized to transform a nonsmooth program into a linear one,which can be solved by simplex method.The numerical analysis compares the efficient frontiers of portfolio selection under various risk measures,and shows the validity of the method." @default.
- W2380231657 created "2016-06-24" @default.
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- W2380231657 date "2006-01-01" @default.
- W2380231657 modified "2023-09-23" @default.
- W2380231657 title "Portfolio Selection with Short Sales in a Frictional Market" @default.
- W2380231657 hasPublicationYear "2006" @default.
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