شماره ركورد كنفرانس :
4781
عنوان مقاله :
The robust mean-absolute deviation portfolio selection problem: ambiguity set approach
پديدآورندگان :
Khanjani Shiraz Rashed 1School of Mathematics, University of Tabriz, Tabriz, Iran, , Fatholazadeh Abolfaz University of Mohaghegh Ardabili, Ardabil, Iran and Centralesupelec University, France
كليدواژه :
Portfolio selection , uncertain distribution , mean , absolute deviation , minimax , Robustness.
عنوان كنفرانس :
يازدهمين كنفرانس بين المللي انجمن ايراني تحقيق در عمليات
چكيده فارسي :
Conventional portfolio selection model is based on the restrictive assumption that the return have compelet information. However, the information available in the financial markets is often ambiguois. In this paper, we consider mean-absolute deviation portfolio selection models when the underlying probability distribution for returns is not perfectly known.
