Title of article
A robustmeanabsolutedeviationmodelforportfoliooptimization
Author/Authors
Yongma Moon *، نويسنده , , TaoYao، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2011
Pages
8
From page
1251
To page
1258
Abstract
In thispaperwedeveloparobustmodelforportfolio optimization.Thepurposeistoconsiderparameter
uncertaintybycontrollingtheimpactofestimationerrors on theportfoliostrategyperformance.Weconstructa
simplerobustmeanabsolutedeviation(RMAD) modelwhichleadstoalinearprogramandreduces
computationalcomplexityofexistingrobustportfolio optimizationmethods.Thispaperteststherobust
strategiesonrealmarketdataanddiscussesperformance of therobustoptimizationmodelempiricallybasedon
financialelasticity,standarddeviation,andmarketconditionsuchasgrowth,steadystate,anddeclineintrend.
Our studyshowsthattheproposedrobustoptimization generallyoutperformsanominalmeanabsolute
deviationmodel.Wealsosuggestprecautionsagainstuse ofrobustoptimizationundercertaincircumstances.
Keywords
Investment , Risk , Linear programming , Robust optimization
Journal title
Computers and Operations Research
Serial Year
2011
Journal title
Computers and Operations Research
Record number
927942
Link To Document