A robust mean absolute deviation model for portfolio optimization

Moon, Yongma; Yao, Tao

doi:10.1016/j.cor.2010.10.020

Cited by 64 publications

(33 citation statements)

References 24 publications

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“…Konno and Koshizuka [14] further showed that the MAD model is more compatible with the fundamental principle of rational decision-making. Absolute E-mail address: qin@buaa.edu.cn deviation as risk measure is also applied to other types of portfolio optimization such as multi-period case (Yu et al [36], Yu and Wang [37]) and robust model (Moon and Yao [26]). …”

Section: Introductionmentioning

confidence: 99%

Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty

Qin

2017

Applied Soft Computing

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Section: Introductionmentioning

confidence: 99%

Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty

Qin

2017

Applied Soft Computing

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“…It is a general measure of risk and can be used in other risk management practices (Xue and Titterington, 2011). The linear formulation takes advantage of a less computational effort (unlike quadratic formulation) and more applicability in practical terms (Moon and Yao, 2011). The authors formulated it as follows: (14) The mathematical formulation of the portfolio optimization problem posed by this model suggested by Konno and Yamazaki (1991) can be summarized by the following expressions:…”

Section: Mean Absolute Deviation (Mad)mentioning

confidence: 99%

The contribution of the African capital markets in the diversification of investment global portfolios

Barreto¹

2017

Afr. J. Bus. Manage.

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This study aims to evaluate the contribution of the African capital markets in the diversification of investment global portfolios. The study used the methodology based on the application of optimization models like mean variance (MV), resample michaud (RM), semi variance (SV), mean absolute deviation (MAD), and filtered historical simulation (FHS). In-sample and out-of-sample approaches were used to analyze the data. The study results suggested the existence of a strong correlation between some African capital markets and global capital markets, that is, they tend to move in the same direction. The most important being the diversification of global portfolio with assets of African capital markets generate benefits for both types of investors, risk averse and taker investors; that is, it provides benefits in the return and reduce investment risk. Still, the study results suggested that the foreign investors should look for African capital markets with a chance to maximize their wealth and diversify the investment risk in their portfolios. In the same order, the study result went further to elaborate on the advantages of the international diversification and furthermore contributes to the literature through application of the FHS method in the optimization portfolio. This methodology in addition to producing good results, is more restrained in the composition of investment portfolios than the other methods.

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“…Moon and Yao (2011) showed that effective portfolio allocation strategies can be obtained by careful selection of the uncertainty sets over which the worst-case is considered. Soyster and Murphy (2013) introduced a framework for duality and modelling in robust linear programs and applied to the classic Markowitz portfolio selection problem.…”

Section: Accepted Manuscriptmentioning

confidence: 99%