Abstract
In this paper, we investigate four discrete optimization modelsarising from single period portfolio selection: Mean-variance model,mean-absolute-deviation model, minimax model and conditionalValue-at-Risk model. These four models are established byconsidering the minimal transaction unit and the cardinalityconstraint in real-world investment practice. Extensivecomputational results are reported to compare the features of themodels. We evaluate the performance of the models by analyzing thein-sample and out-of-sample numerical results with real data fromShanghai Stock Exchange.
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