Abstract
The purpose of this paper is to present a reformulation of the model presented by Feinstein and Thapa [C.D. Feinstein, M.N. Thapa, Notes: a reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39 (12) (1993) 1552-1553]. The approach of Feinstein and Thapa has been accepted as the most efficient technique published, requiring the least number of auxiliary constraints and additional continuous variables. To solve a portfolio optimization problem with T periods, in their method would introduce T+2 auxiliary constraints, 2T auxiliary sign constraints, and 2T additional continuous variables. This note indicates that it is still possible to reduce the number of auxiliary constraints and additional continuous variables in the model of Feinstein and Thapa. The equivalent concise model is proposed in this note, which has T+2 auxiliary constraints, T auxiliary sign constraints, and T additional continuous variables.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
