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Chinese Journal of Management Science

Chinese Journal of Management Science ›› 2006, Vol. ›› Issue (2): 7-11.

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Optimization of the Mean Semi-absolute Deviation Portfolio Selection Model with the Restricted Short Selling Based on the Pivoting Algorithm

ZHANG Peng1, ZHANG Zhong-zhen2, YUE Chao-yuan1   

  1. 1. Institute of System Engineering, Huazhong University of Science and Technology, Wuhan 430074, China;
    2. School of Management, Wuhan University of Technology, Wuhan 430070, China
  • Received:2005-09-10 Revised:2006-03-20 Online:2006-04-28 Published:2012-03-07

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Abstract: We propose a mean semi-absolute deviation portfolio selection model with the restricted short selling.The model is a linear programming problem and is solved by the pivoting algorithm.At last,we prove the algorithm is highly effective and the restricted short selling can increase the efficiency of the security market by an example.

Key words: portfolio selection, mean semi-absolute deviation, the restricted short selling, pivoting algorithm

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