eprintid: 13569
rev_number: 8
eprint_status: archive
userid: 353
dir: disk0/00/01/35/69
datestamp: 2016-08-04 08:58:09
lastmod: 2021-08-27 17:41:23
status_changed: 2016-08-04 08:58:09
type: article
metadata_visibility: show
creators_name: Michalowski, W.
creators_name: Ogryczak, W.
creators_id: AL1000
title: A recursive procedure for selecting optimal portfolio according to the MAD model
ispublished: pub
keywords: Downside risk aversion; Linear programming; Portfolio optimization
abstract: 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.
date: 1999
date_type: published
publisher: Systems Reseach Institute of the Polish Academy of Sciences
official_url: http://control.ibspan.waw.pl:3000/contents/show/80?year=1999
creators_browse_id: 2189
full_text_status: public
publication: Control and Cybernetics
volume: 28
number: 4
pagerange: 725-738
refereed: TRUE
issn: 0324-8569
coversheets_dirty: FALSE
fp7_project: no
fp7_type: info:eu-repo/semantics/article
citation:   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.       
document_url: https://pure.iiasa.ac.at/id/eprint/13569/1/A%20recursive%20procedure%20for%20selecting%20optimal%20portfolio%20according%20to%20the%20MAD%20model.pdf