TY - JOUR T1 - Mean Absolute Deviation Model with Uncertainty on Returns for Portfolio Optimization TT - مدل میانگین انحراف مطلق با عدم قطعیت روی بازده‌ها برای بهینه‌ سازی سبد سهام JF - JAMLU JO - JAMLU VL - 15 IS - 2 UR - http://jamlu.liau.ac.ir/article-1-1552-en.html Y1 - 2018 SP - 1 EP - 17 KW - Mean absolute deviation model KW - portfolio KW - linear program KW - robust optimization risk KW - correlated polyhedral N2 - 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. M3 ER -