Volume 15, Issue 2 (7-2018)                   jor 2018, 15(2): 1-17 | Back to browse issues page

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Shahmoradi M, Lotfi S. Mean Absolute Deviation Model with Uncertainty on Returns for Portfolio Optimization. jor 2018; 15 (2) :1-17
URL: http://jamlu.liau.ac.ir/article-1-1552-en.html
Mean Absolute Deviation Model with Uncertainty on Returns for Portfolio Optimization
M. Shahmoradi , S. Lotfi
Abstract:   (4072 Views)
In this paper, mean absolute deviation model for optimal  portfolio selection problem is studied. Due to the uncertainty in the observed returns from financial markets, an improved robust formulation based on Bertsimas and Sim approach  is presented. Then we study the robust model of the problem under correlated uncertainty set and give its equivalent model. Finally,  the performance of the improved and correlated robust models is compared with  the original one on real data from financial markets.

 
Keywords: Mean absolute deviation model, portfolio, linear program, robust optimization risk, correlated polyhedral
Full-Text [PDF 532 kb]   (1741 Downloads)    
Type of Study: Research | Subject: Special
Received: 2017/03/18 | Accepted: 2017/10/12 | Published: 2018/07/15
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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.