Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric. [PDF]
J Glob Optim, 2022 Data uncertainty has a great impact on portfolio selection. Based on the popular mean-absolute deviation (MAD) model, we investigate how to make robust portfolio decisions. In this paper, a novel Wasserstein metric-based data-driven distributionally robust mean-absolute deviation (DR-MAD) model is proposed.
Chen D, Wu Y, Li J, Ding X, Chen C.
europepmc +5 more sources
PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION
E-Jurnal Matematika, 2021 Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods.
NI KADEK NITA SILVANA SUYASA +2 more
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Portfolio Optimization with a Mean–Absolute Deviation–Entropy Multi-Objective Model [PDF]
Entropy, 2021 Investors wish to obtain the best trade-off between the return and risk. In portfolio optimization, the mean-absolute deviation model has been used to achieve the target rate of return and minimize the risk.
Weng Siew Lam +2 more
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Gesture recognition method based on misalignment mean absolute deviation and KL divergence [PDF]
EURASIP Journal on Wireless Communications and Networking, 2022 At present, it has become very convenient to collect channel state information (CSI) from ubiquitous commercial WiFi network cards, and the location or activity of a human who affects the CSI can be recognized by analyzing the change of the CSI ...
Yong Tian +4 more
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Absolute Deviation-Based Control Charts for Monitoring Mean of Weibull Distribution With Type-I Censoring [PDF]
IEEE Access, 2021 This article presents deviation based exponentially weighted moving average control charts to monitor type-I censored data. Due to practical applications, this study considers Weibull distribution to assess the performance of the proposed memory-type ...
Sajid Ali +4 more
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Jurnal Fourier, 2020 Penelitian ini membahas tentang pembentukan portofolio optimal menggunakan model Mean Absolute Deviation (MAD) dan model Conditional Mean Variance (CMV).
Eka Nur Vanti, Epha Diana Supandi
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Bias-Reduced Estimation of Mean Absolute Deviation Around the Median [PDF]
SSRN Electronic Journal, 2022 5 pages, 4 figures, submitted to Statistics & Probability ...
Michele Lambardi di San Miniato
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BarekengIn investing in stocks, an investor must be able to form a stock portfolio to obtain optimal results. Factor analysis is one way to select stocks to form a portfolio. Factor analysis with Principal Component Analysis (PCA) extraction is used to summarize
Aditya Nugraha Pratama +2 more
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Portfolio optimization using Mean Absolute Deviation (MAD) and Conditional Value-at-Risk (CVaR) [PDF]
Production, 2017 This paper investigates the efficiency of traditional portfolio optimization models when the returns of financial assets are highly volatile, e.g., in financial crises periods.
Lucas Pelegrin da Silva +2 more
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On data-driven robust portfolio optimization with semi mean absolute deviation via support vector clustering [PDF]
Mathematics and Modeling in FinanceIn [14] the authors have studied robust semi-mean absolute deviation portfolio optimization model when assets expected returns involve uncertainty. They applied a data driven approach via support vector clustering to construct the uncertainty set using ...
Eftekhar Kosarinia +2 more
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