TY  - JOUR
ID  - iiasa13569
UR  - http://control.ibspan.waw.pl:3000/contents/show/80?year=1999
IS  - 4
A1  - Michalowski, W.
A1  - Ogryczak, W.
N2  - 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.
VL  - 28
TI  - A recursive procedure for selecting optimal portfolio according to the MAD model
AV  - public
EP  - 738
Y1  - 1999///
PB  - Systems Reseach Institute of the Polish Academy of Sciences
JF  - Control and Cybernetics
KW  - Downside risk aversion; Linear programming; Portfolio optimization
SN  - 0324-8569
SP  - 725
ER  -