"13569","8","archive","353",,,"disk0/00/01/35/69","2016-08-04 08:58:09","2021-08-27 17:41:23","2016-08-04 08:58:09","article",,,"show","","",,,,"Michalowski","W.","","","AL1000","","",,,,,"","","A recursive procedure for selecting optimal portfolio according to the MAD model","pub","","","","Downside risk aversion; Linear programming; Portfolio optimization",,"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.","1999","published","Systems Reseach Institute of the Polish Academy of Sciences",,"http://control.ibspan.waw.pl:3000/contents/show/80?year=1999",,,,,"",,,,,"",,,,,"",,,,,"","",,"",,,,,,,"2189","public",,,,"Control and Cybernetics","28","4",,"725-738",,,,,,,,,,,"TRUE",,"0324-8569",,,,,,"","","","",,"","",,,,,,,"",,,,,"FALSE","no",,"info:eu-repo/semantics/article",
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