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A recursive procedure for selecting optimal portfolio according to the MAD model.pdf

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/69219 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/69219 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/69219 archive 353 disk0/00/01/35/69 2016-08-04 08:58:09 2021-08-27 17:41:23 2016-08-04 08:58:09 article show Michalowski W. AL1000 Ogryczak W. pub Downside risk aversion; Linear programming; Portfolio optimization 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 published Systems Reseach Institute of the Polish Academy of Sciences http://control.ibspan.waw.pl:3000/contents/show/80?year=1999 2189 public Control and Cybernetics 28 4 725-738 TRUE 0324-8569 FALSE no info:eu-repo/semantics/article