Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions

DOI10.1016/S0167-6377(99)00011-5MaRDI QIDQ1306358zbMATH OpenOpenAlexWikidataFDO

Authors V. Pereyra

Publication date 1999

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6377(99)00011-5

zbMATH Keywords

symmetrystochastic optimizationportfolio optimizationmean absolute deviationdownside risk

Mathematics Subject Classification ID

One- and multidimensional scaling in the social and behavioral sciences (91C15)

Recommendations

• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Some remarks on the generalized mean upper/lower semideviations of order \(p\) from a target
• Portfolio analysis with an asymmetric linear risk measure
• Mean-absolute deviation portfolio optimization problem
• Mean–Absolute Deviation Model

Cites work

• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• Asset/liability management under uncertainty for fixed-income securities
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model
• Formulation of the Russell-Yasuda Kasai financial planning model
• Linear‐quadratic efficient frontiers for portfolio optimization
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION

Cited in

(3)

• Scenario modelling for selective hedging strategies
• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• Some remarks on the generalized mean upper/lower semideviations of order \(p\) from a target

Describes a project that uses

Uses Software

• LINDO

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