- Tytuł:
- A recursive procedure for selecting optimal portfolio according to the MAD model
- Autorzy:
-
Michałowski, W.
Ogryczak, W. - Tematy:
-
optymalizacja
programowanie liniowe
downside risk aversion
investment
linear programming
portfolio optimization
quadratic programming
risk management - Pokaż więcej
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Powiązania:
- https://bibliotekanauki.pl/articles/205763.pdf Link otwiera się w nowym oknie
- Opis:
- 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. Im 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 poesent a recursive procedure which allows to identify optimal portfolio of the MAD model depending on investor's downside risk aversion.
- Dostawca treści:
- Biblioteka Nauki
Artykuł