https://pure.iiasa.ac.at/id/eprint/13569 2021-08-27T17:41:23Z info:eu-repo/semantics/descriptiveMetadata https://pure.iiasa.ac.at/id/eprint/13569/ A recursive procedure for selecting optimal portfolio according to the MAD model Michalowski, W. Ogryczak, W. 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. Systems Reseach Institute of the Polish Academy of Sciences 1999 Article PeerReviewed text en cc_by https://pure.iiasa.ac.at/id/eprint/13569/1/A%20recursive%20procedure%20for%20selecting%20optimal%20portfolio%20according%20to%20the%20MAD%20model.pdf 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. http://control.ibspan.waw.pl:3000/contents/show/80?year=1999 info:eu-repo/semantics/objectFile info:eu-repo/semantics/humanStartPage