Title of article :
A robustmeanabsolutedeviationmodelforportfoliooptimization
Author/Authors :
Yongma Moon *، نويسنده , , TaoYao، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2011
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
Journal title :
Computers and Operations Research
