Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection

Luca Chiodi (), Renata Mansini () and Maria Speranza ()

Annals of Operations Research, 2003, vol. 124, issue 1, 245-265

Abstract: Investors consider mutual funds as an interesting investment opportunity. This is the result of the impressive growth shown by these financial products in recent times. In this paper we propose a mixed integer linear programming model dealing with the portfolio selection problem on mutual funds in a single period investment strategy. We propose some heuristics and compare their performance. According to the results obtained on real instances, heuristics have proved to be effective and efficient. Copyright Kluwer Academic Publishers 2003

Keywords: portfolio selection problem; mutual funds; heuristics (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/B:ANOR.0000004772.15447.5a

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