Abstract: (4185 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.
Type of Study:
Research |
Subject:
Special Received: 2017/03/18 | Accepted: 2017/10/12 | Published: 2018/07/15