全球智库信息集成服务系统(G2TT): A recursive procedure for selecting optimal portfolio according to the MAD model.

G2TT

来源类型	Article
规范类型	其他
	A recursive procedure for selecting optimal portfolio according to the MAD model.
	Michalowski W; Ogryczak W
发表日期	1999
出处	Control and Cybernetics 28 (4): 725-738.
出版年	1999
语种	英语
摘要	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.
关键词	Downside risk aversion Linear programming Portfolio optimization
URL	http://pure.iiasa.ac.at/id/eprint/13569/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/127775
推荐引用方式 GB/T 7714	Michalowski W,Ogryczak W. A recursive procedure for selecting optimal portfolio according to the MAD model.. 1999.