Mean–Absolute Deviation Model

DOI10.1007/978-1-4419-1642-6_11MaRDI QIDQ3001278zbMATH OpenOpenAlexFDO

Authors Hiroshi Konno

Publication date 31 May 2011

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-1642-6_11

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Model averaging by least squares approximation
• A note on mean absolute deviation
• Moderate deviation principle for the error variance estimator in linear models
• Least Squares Model Averaging
• Model-averaged confidence intervals
• Conditional median absolute deviation
• scientific article; zbMATH DE number 2034516
• scientific article; zbMATH DE number 1082200

Cited in

(6)

• Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions
• On Hoover's scale-free forecast accuracy metric MAD/MEAN
• Two nonparametric approaches to mean absolute deviation portfolio selection model
• scientific article; zbMATH DE number 1462621 (Why is no real title available?)
• MAD risk parity portfolios
• The famous American economist H. Markowitz and mathematical overview of his portfolio selection theory

This page was built for publication: Mean–Absolute Deviation Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3001278)