Results 221 to 230 of about 449,466 (261)

Credibilistic Mean-Absolute Deviation Model

2016
Mean-absolute deviation model was first proposed by Konno and Yamazaki (1991) for stochastic portfolio optimization by using absolute deviation risk function to replace variance. It removes most of the difficulties associated with Markowitz’s mean-variance model.
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Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios

Management Science, 1971
The characteristic line of a security or portfolio relates its rate of return to that of a “market portfolio.” Several investigators have suggested the desirability of obtaining such a line by minimizing the sum of the absolute deviations rather than the sum of the squared deviations around the line.
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Equivalence of mean flow time problems and mean absolute deviation problems

Operations Research Letters, 1990
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kubiak, W., Lou, S., Sethi, S.
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Mean-absolute deviation portfolio optimization for mortgage-backed securities

Annals of Operations Research, 1993
We develop an integrated simulation/optimization model for managing portfolios of mortgage-backed securities. The mortgage portfolio problem is viewed in the same spirit of models used for the management of portfolios of equities. That is, it trades off rates of return with a suitable measure of risk.
Zenios, Stavros A., Kang, Pan, Zenios, Stavros A., Kang, Pan   +3 more
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Multiperiod credibilitic mean semi-absolute deviation portfolio selection

2017
Summary: In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi-absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control.
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55. Mean Absolute Deviation and Standard Deviation

At bottom, both MAD and S measure how far, on average, individual observations lie from the sample’s central tendency. 
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Appendix E: Mean Direction and Mean Absolute Deviation

2009
The mean directional and mean absolute deviations are statistics that can be used to summarize and check the balance of JAR data. The JAR data are analyzed separately for each product and each attribute. The mean directional deviation is the average signed difference of the ratings from the “Just About Right” value.
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A Possibilistic Mean Absolute Deviation Portfolio Selection Model

2009
This paper deals with a mean absolute deviation portfolio selection problem with fuzzy return rates under fuzzy liquidity constraint, a new possibilistic programming approach based on possibilistic mean and fuzzy liquidity has been proposed, the problem can be reduced to a linear programming by possibility theory.
Guo-hua Chen, Xiao-lian Liao
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Mean Absolute Deviation (About Mean) Metric for Kurtosis

Advance Research in Sciences (ARS)
In this paper, we introduce a MAD (about mean) alternative metric to classical kurtosis. Using the formula for mean absolute deviation, we identify two special points and construct the corresponding distributions with these reference points as their means. The proposed alternative is computed from mean absolute deviations for these distributions. These
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PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL

International Journal of Theoretical and Applied Finance, 2003
The purpose of this paper is to show that we are now able to apply standard portfolio optimization methods to the management of small and medium scale fund, where transaction cost and minimal transaction unit constraints are not negligible. Unit transaction cost is usually larger when the amount of investment is smaller.
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