relation: https://pure.iiasa.ac.at/id/eprint/13569/
title: A recursive procedure for selecting optimal portfolio according to the MAD model
creator: Michalowski, W.
creator: Ogryczak, W.
description: 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.
publisher: Systems Reseach Institute of the Polish Academy of Sciences
date: 1999
type: Article
type: PeerReviewed
format: text
language: en
rights: cc_by
identifier: https://pure.iiasa.ac.at/id/eprint/13569/1/A%20recursive%20procedure%20for%20selecting%20optimal%20portfolio%20according%20to%20the%20MAD%20model.pdf
identifier:   Michalowski, W. <https://pure.iiasa.ac.at/view/iiasa/2189.html> & Ogryczak, W.  (1999).  A recursive procedure for selecting optimal portfolio according to the MAD model.   Control and Cybernetics 28 (4) 725-738.       
relation: http://control.ibspan.waw.pl:3000/contents/show/80?year=1999