全球智库信息集成服务系统(G2TT): Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion.

G2TT

来源类型	Monograph (IIASA Interim Report)
规范类型	报告
	Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion.
	Michalowski W; Ogryczak W
发表日期	1998
出版者	IIASA, Laxenburg, Austria: IR-98-041
出版年	1998
语种	英语
摘要	The mathematical model of portfolio optimization is usually expected as a bicriteria optimization problem where a reasonable trade-off between expected rate of return risk is sought. In a classical Markowitz model the risk is measured by a variance, thus resulting in a quadratic programming model. As an alternative, the MAD model was proposed where risk is measured by (mean) absolute deviation instead of a variance. The MAD model is computationally attractive, since it is transformed into an easy to solve linear programming program. In this paper we present an extension to the MAD model allowing to account for downside risk aversion of an investor, and at the same time preserving simplicity and linearity of the original MAD model.
主题	Decision Analysis and Support (DAS)
URL	http://pure.iiasa.ac.at/id/eprint/5607/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/124823
推荐引用方式 GB/T 7714	Michalowski W,Ogryczak W. Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion.. 1998.