MEAN ABSOLUTE DEVIATION MODEL WITH UNCERTAINTY ON RETURNS FOR PORTFOLIO OPTIMIZATION

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SHAHMORADI M.; SALAHI M.; LOTFI S.

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Journal: Journal of Operational Research in its Applications Year:2018 | Volume:15 | Issue:2 (57) Page(s): 1-17

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Title

MEAN ABSOLUTE DEVIATION MODEL WITH UNCERTAINTY ON RETURNS FOR PORTFOLIO OPTIMIZATION

Author(s)

SHAHMORADI M. | SALAHI M. | LOTFI S. | Issue Writer Certificate

Keywords

MEAN ABSOLUTE DEVIATION MODELQ1

PORTFOLIOQ1

LINEAR PROGRAMQ2

ROBUST OPTIMIZATIONQ1

RISKQ1

CORRELATED POLYHEDRALQ1

Abstract

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.

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APA: Copy

SHAHMORADI, M., SALAHI, M., & LOTFI, S.. (2018). MEAN ABSOLUTE DEVIATION MODEL WITH UNCERTAINTY ON RETURNS FOR PORTFOLIO OPTIMIZATION. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), 15(2 (57) ), 1-17. SID. https://sid.ir/paper/164386/en

Vancouver: Copy

SHAHMORADI M., SALAHI M., LOTFI S.. MEAN ABSOLUTE DEVIATION MODEL WITH UNCERTAINTY ON RETURNS FOR PORTFOLIO OPTIMIZATION. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS)[Internet]. 2018;15(2 (57) ):1-17. Available from: https://sid.ir/paper/164386/en

IEEE: Copy

M. SHAHMORADI, M. SALAHI, and S. LOTFI, “MEAN ABSOLUTE DEVIATION MODEL WITH UNCERTAINTY ON RETURNS FOR PORTFOLIO OPTIMIZATION,” JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), vol. 15, no. 2 (57) , pp. 1–17, 2018, [Online]. Available: https://sid.ir/paper/164386/en

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