Results 251 to 260 of about 1,453,909 (298)

Mean-absolute deviation portfolio optimization problem

Journal of Information and Optimization Sciences, 2007
One of the basic problems of applied finance is the optimal selection of stocks, with the aim of maximizing future returns and minimizing the risk using a specified risk aversion factor. Variance is used as the risk measure in classical Markowitz model, thus resulting in a quadratic programming.
Anton Abdulbasah Kamil, Khalipah Ibrahim
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Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions

Operations Research Letters, 1999
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kenyon, C. M., Savage, S., Ball, B.
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General characterization theorems via the mean absolute deviation

Journal of Statistical Planning and Inference, 1998
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Mohtashami Borzadaran, G. R., Shanbhag, D. N.   +1 more
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Testing the market efficiency by mean absolute deviation

Benchmarking: An International Journal, 2017
Purpose Numerous articles have been written to prove or to disapprove the hypothesis of market efficiency. The purpose of this paper is to apply the forecast accuracy measure, mean absolute deviation (MAD), to check the validity of the hypothesis. Design/methodology/approach Forecast accuracies from applying different simple moving average methods ...
Louie Ren, Peter Ren
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A mean-absolute deviation-skewness portfolio optimization model

Annals of Operations Research, 1993
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Konno, Hiroshi, Shirakawa, Hiroshi, Yamazaki, Hiroaki   +2 more
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Mean–Absolute Deviation Model

2010
We will survey important properties of the mean–absolute deviation (MAD) portfolio optimization model, which was introduced in 1990 to cope with very large–scale portfolio optimization problems. MAD model has been used for solving huge portfolio optimization models including internationally diversified investment model, long-term ALM model, mortgage ...
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Expansions for statistics involving the mean absolute deviations

Annals of the Institute of Statistical Mathematics, 1992
Let \(X_ 1,\dots,X_ n\) be i.i.d. rv's from a distribution function \(F\) with mean \(\mu\) and denote by \(\bar X\), \(\tilde X\), and \(s\), respectively, their mean, median and root mean square deviation. The authors consider the statistics \(M_ 1=n^{-1}\sum| X_ i-\bar X|\), \(M_ 2=n^{-1}\sum| X_ i-\tilde X|\), \(W_ i=M_ i/s\) \((i=1,2)\) and \(t_ i=
Babu, Gutti Jogesh, Rao, C. Radhakrishna
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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
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Kubiak, W., Lou, S., Sethi, S.
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