<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "A recursive procedure for selecting optimal portfolio according to the MAD model"^^ . "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" . . "28" . "4" . . "Systems Reseach Institute of the Polish Academy of Sciences"^^ . . . "Control and Cybernetics"^^ . . . "03248569" . . . . . . . . . . "W."^^ . "Ogryczak"^^ . "W. Ogryczak"^^ . . "W."^^ . "Michalowski"^^ . "W. Michalowski"^^ . . . . . . "A recursive procedure for selecting optimal portfolio according to the MAD model (Text)"^^ . . . . . . "A recursive procedure for selecting optimal portfolio according to the MAD model.pdf"^^ . . . "A recursive procedure for selecting optimal portfolio according to the MAD model (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "A recursive procedure for selecting optimal portfolio according to the MAD model (Other)"^^ . . . . . . "preview.jpg"^^ . . . "A recursive procedure for selecting optimal portfolio according to the MAD model (Other)"^^ . . . . . . "medium.jpg"^^ . . . "A recursive procedure for selecting optimal portfolio according to the MAD model (Other)"^^ . . . . . . "small.jpg"^^ . . . "A recursive procedure for selecting optimal portfolio according to the MAD model (Other)"^^ . . . . . . "indexcodes.txt"^^ . . "HTML Summary of #13569 \n\nA recursive procedure for selecting optimal portfolio according to the MAD model\n\n" . "text/html" . .