{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,5]],"date-time":"2025-12-05T12:10:16Z","timestamp":1764936616146},"reference-count":24,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2012,4,18]],"date-time":"2012-04-18T00:00:00Z","timestamp":1334707200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J Glob Optim"],"published-print":{"date-parts":[[2012,6]]},"DOI":"10.1007\/s10898-012-9887-2","type":"journal-article","created":{"date-parts":[[2012,4,17]],"date-time":"2012-04-17T10:20:04Z","timestamp":1334658004000},"page":"363-380","source":"Crossref","is-referenced-by-count":11,"title":["Dynamic optimal portfolio with maximum absolute deviation model"],"prefix":"10.1007","volume":"53","author":[{"given":"Mei","family":"Yu","sequence":"first","affiliation":[]},{"given":"Shouyang","family":"Wang","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2012,4,18]]},"reference":[{"key":"9887_CR1","doi-asserted-by":"crossref","first-page":"957","DOI":"10.1287\/mnsc.46.7.957.12039","volume":"46","author":"X.Q. Cai","year":"2000","unstructured":"Cai X.Q., Teo K.L., Yang X.Q., Zhou X.Y.: Portfolio optimization under a minimax rule. Manag. Sci. 46, 957\u2013972 (2000)","journal-title":"Manag. Sci."},{"key":"9887_CR2","doi-asserted-by":"crossref","first-page":"1552","DOI":"10.1287\/mnsc.39.12.1552","volume":"39","author":"C.D. Feinstein","year":"1993","unstructured":"Feinstein C.D., Thapa M.N.: Notes: a reformulation of a mean-absolute deviation portfolio optimization model. Manag. Sci. 39, 1552\u20131553 (1993)","journal-title":"Manag. Sci."},{"key":"9887_CR3","doi-asserted-by":"crossref","first-page":"139","DOI":"10.15807\/jorsj.33.139","volume":"33","author":"H. Konno","year":"1990","unstructured":"Konno H.: Piecewise linear risk functions and portfolio optimization. J. Oper. Res. Soc. Jpn. 33, 139\u2013156 (1990)","journal-title":"J. Oper. Res. Soc. Jpn."},{"key":"9887_CR4","doi-asserted-by":"crossref","first-page":"21","DOI":"10.1007\/BF02425207","volume":"1","author":"H. Konno","year":"1994","unstructured":"Konno H., Shirakawa H.: Equilibrium rcations in the mean-absolute deviation capital market. Finan. Eng. Jpn. Mark. 1, 21\u201335 (1994)","journal-title":"Finan. Eng. Jpn. Mark."},{"key":"9887_CR5","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1287\/mnsc.37.5.519","volume":"37","author":"H. Konno","year":"1991","unstructured":"Konno H., Yamazaki H.: Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Manag. Sci. 37, 519\u2013529 (1991)","journal-title":"Manag. Sci."},{"key":"9887_CR6","doi-asserted-by":"crossref","unstructured":"LeBlanc, G., Van Moeseke, P.: Portfolios with reserve coefficient. Metroecon. 31, 103\u2013118 (1979) http:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/meca.1979.31.issue-1\/issuetoc","DOI":"10.1111\/j.1467-999X.1979.tb00238.x"},{"key":"9887_CR7","doi-asserted-by":"crossref","first-page":"555","DOI":"10.1287\/mnsc.38.4.555","volume":"38","author":"H. Levy","year":"1992","unstructured":"Levy H.: Stochastic dominance and expected utility: survey and analysis. Manag. Sci. 38, 555\u2013593 (1992)","journal-title":"Manag. Sci."},{"key":"9887_CR8","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1111\/1467-9965.00100","volume":"10","author":"D. Li","year":"2000","unstructured":"Li D., Ng W.K.: Optimal dynamic portfolio selection: multi-period mean-variance formulation. Math. Finan. 10, 387\u2013406 (2000)","journal-title":"Math. Finan."},{"key":"9887_CR9","doi-asserted-by":"crossref","first-page":"1540","DOI":"10.1137\/S0363012900378504","volume":"40","author":"X. Li","year":"2002","unstructured":"Li X., Zhou X.Y., Lim A.E.B.: Dynamic mean-variance portfolio selection with no-shorting constraints. SIAM J. Control Optim. 40, 1540\u20131555 (2002)","journal-title":"SIAM J. Control Optim."},{"key":"9887_CR10","volume-title":"Portfolio Selection: Efficient Diversification of Investment","author":"H.M. Markowitz","year":"1959","unstructured":"Markowitz H.M.: Portfolio Selection: Efficient Diversification of Investment. Wiley, New York (1959)"},{"key":"9887_CR11","unstructured":"Ogryczak, W., Ruszczynski, A.: From Stochastic Dominance to Mean-Risk Model: Semideviations as Risk Measures. Interim Report IR-97-027, IIASA, Laxenburg (1997)"},{"key":"9887_CR12","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/S0377-2217(98)00167-2","volume":"116","author":"O. Ogryczak","year":"1999","unstructured":"Ogryczak O., Ruszczynski A.: From stockastic dominance mean-risk model: semi-deviation as risk measure. Eur. J. Oper. Res. 116, 33\u201350 (1999)","journal-title":"Eur. J. Oper. Res."},{"key":"9887_CR13","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1007\/PL00011396","volume":"89","author":"O. Ogryczak","year":"2001","unstructured":"Ogryczak O., Ruszczynski A.: On constancy of stochastic dominance and mean-semidevriation models. Math. Program. Ser. B 89, 217\u2013232 (2001)","journal-title":"Math. Program. Ser. B"},{"key":"9887_CR14","doi-asserted-by":"crossref","first-page":"85","DOI":"10.1016\/S0378-4266(98)00076-4","volume":"23","author":"M. Rudolf","year":"1999","unstructured":"Rudolf M., Wolter H.J., Zimmermann H.: A linear model for tracking error minimization. J. Banking Finan. 23, 85\u2013103 (1999)","journal-title":"J. Banking Finan."},{"key":"9887_CR15","doi-asserted-by":"crossref","first-page":"333","DOI":"10.1023\/A:1010909632198","volume":"101","author":"K.L. Teo","year":"2001","unstructured":"Teo K.L., Yang X.Q.: Portfolio selection problem with minimax type risk function. Ann. Oper. Res. 101, 333\u2013349 (2001)","journal-title":"Ann. Oper. Res."},{"key":"9887_CR16","first-page":"196","volume":"5","author":"P. Van Moeseke","year":"1965","unstructured":"Van Moeseke P.: Stochastic linear programming: A study in resource allocation under risk. Yale Econ. Essays 5, 196\u2013254 (1965)","journal-title":"Yale Econ. Essays"},{"key":"9887_CR17","unstructured":"Van Moeseke, P.: A general duality theorem of convex programming. Econometrica 39, 173\u2013175 (1971); Moeseke"},{"key":"9887_CR18","first-page":"205","volume":"18","author":"P. Van Moeseke","year":"1973","unstructured":"Van Moeseke P., Hohenbalken B.V.: Efficient and optimal portfolios by homogeneous programming. Z. Oper. Res. 18, 205\u2013214 (1973)","journal-title":"Z. Oper. Res."},{"key":"9887_CR19","volume-title":"Stochastic Dominance: An Approach to Decision-Making Under Risk","author":"G.A. Whitmore","year":"1978","unstructured":"Whitmore G.A., Findlay M.C.: Stochastic Dominance: An Approach to Decision-Making Under Risk. D.C. Heath, Lexington (1978)"},{"key":"9887_CR20","first-page":"565","volume":"12","author":"M. Yu","year":"2005","unstructured":"Yu M., Wang S., Lai K.K., Chao X.: Multiperiod portfolio selection on a minimax rule. Dynam. Continuous Discret Impuls. Syst. Ser. B. 12, 565\u2013587 (2005)","journal-title":"Dynam. Continuous Discret Impuls. Syst. Ser. B."},{"key":"9887_CR21","unstructured":"Yu, M., Inoue, H., Shi, J.: Portfolio selection with linear models in a financial market. Working paper, MS 06-04. Tokyo University of Science (2006)"},{"key":"9887_CR22","doi-asserted-by":"crossref","first-page":"349","DOI":"10.1016\/j.ejor.2009.03.009","volume":"201","author":"M. Yu","year":"2010","unstructured":"Yu M., Takahashi S., Inoue H., Wang S.: Dynamic portfolio optimization with risk control for absolute deviation model. Eur. J. Oper. Res. 201, 349\u2013364 (2010)","journal-title":"Eur. J. Oper. Res."},{"key":"9887_CR23","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1007\/s002450010003","volume":"42","author":"X.Y. Zhou","year":"2000","unstructured":"Zhou X.Y., Li D.: Continuous time mean-variance portfolio selection: a stochastic LQ framework. Appl. Math. Optim. 42, 19\u201333 (2000)","journal-title":"Appl. Math. Optim."},{"key":"9887_CR24","doi-asserted-by":"crossref","first-page":"447","DOI":"10.1109\/TAC.2004.824474","volume":"49","author":"S. Zhu","year":"2004","unstructured":"Zhu S., Li D., Wang S.: Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation. IEEE Trans. Autom. Control 49, 447\u2013457 (2004)","journal-title":"IEEE Trans. Autom. Control"}],"container-title":["Journal of Global Optimization"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10898-012-9887-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10898-012-9887-2\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10898-012-9887-2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,27]],"date-time":"2019-06-27T11:29:20Z","timestamp":1561634960000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10898-012-9887-2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,4,18]]},"references-count":24,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2012,6]]}},"alternative-id":["9887"],"URL":"https:\/\/doi.org\/10.1007\/s10898-012-9887-2","relation":{},"ISSN":["0925-5001","1573-2916"],"issn-type":[{"value":"0925-5001","type":"print"},{"value":"1573-2916","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,4,18]]}}}