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

DOI10.1016/S0167-6377(99)00011-5zbMATH Open0957.91046OpenAlexW2018624671WikidataQ127443424 ScholiaQ127443424MaRDI QIDQ1306358FDOQ1306358

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

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zbMATH Keywords

symmetrystochastic optimizationportfolio optimizationmean absolute deviationdownside risk

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• Scenario modelling for selective hedging strategies
• Extending the MAD portfolio optimization model to incorporate downside risk aversion

Uses Software

• LINDO

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