DocumentCode
3561860
Title
Notice of Retraction
The optimization On the multiperiod mean- absolute deviation portfolio selection in friction market
Author
Zhang Peng
Author_Institution
Sch. of Manage., Wuhan Univ. of Sci. & Technol., Wuhan, China
Volume
2
fYear
2010
Firstpage
509
Lastpage
513
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
The mean-absolute deviation approach is extended in this paper to multiperiod portfolio selection. Considering the transaction costs and the constraints on trade volumes, the paper proposes the multiperiod mean-absolute deviation portfolio selection model. An efficient algorithm-the discrete approximate iteration method is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and absolute deviation of the portfolio selection. At last, the paper proves the linear convergence of the algorithm.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
The mean-absolute deviation approach is extended in this paper to multiperiod portfolio selection. Considering the transaction costs and the constraints on trade volumes, the paper proposes the multiperiod mean-absolute deviation portfolio selection model. An efficient algorithm-the discrete approximate iteration method is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and absolute deviation of the portfolio selection. At last, the paper proves the linear convergence of the algorithm.
Keywords
costing; iterative methods; marketing; optimisation; friction market; iteration method; multiperiod mean absolute deviation portfolio selection; transaction costs; Heuristic algorithms; Portfolios; Discrete approximate iteration; Mean- absolute deviation; Multiperiod portfolio selection; Utility function;
fLanguage
English
Publisher
ieee
Conference_Titel
Advanced Management Science (ICAMS), 2010 IEEE International Conference on
Print_ISBN
978-1-4244-6931-4
Type
conf
DOI
10.1109/ICAMS.2010.5552974
Filename
5552974
Link To Document