Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4506 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4506 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4506 archive 351 disk0/00/00/56/07 2016-01-15 02:10:21 2021-08-27 17:16:28 2016-01-15 02:10:21 monograph show 2 Michalowski W. AL1000 Ogryczak W. Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion pub iis_ecn iis_mod iis_rsk prog_das The mathematical model of portfolio optimization is usually expected as a bicriteria optimization problem where a reasonable trade-off between expected rate of return 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 an extension to the MAD model allowing to account for downside risk aversion of an investor, and at the same time preserving simplicity and linearity of the original MAD model. 1998-06 published IR-98-041 IR-98-041 2189 public interim_report IIASA, Laxenburg, Austria 21 FALSE info:eu-repo/semantics/book