@article{iiasa13569,
          volume = {28},
          number = {4},
           title = {A recursive procedure for selecting optimal portfolio according to the MAD model},
       publisher = {Systems Reseach Institute of the Polish Academy of Sciences},
            year = {1999},
           pages = {725--738},
         journal = {Control and Cybernetics},
        keywords = {Downside risk aversion; Linear programming; Portfolio optimization},
             url = {http://control.ibspan.waw.pl:3000/contents/show/80?year=1999},
            issn = {0324-8569},
        abstract = {The mathematical model of portfolio optimization is usually represented as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In a classical Markowitz model the risk is measured by a variance, thus resulting in a quadratic programming model. As an alternative, the MAD model was proposed where risk is measured by (mean) absolute deviation instead of a variance. The MAD model is computationally attractive, since it is transformed into an easy to solve linear programming program. In this paper we present a recursive procedure which allows to identify optimal portfolio of the MAD model depending on investor's downside risk aversion.},
          author = {Michalowski, W. and Ogryczak, W.}
}