کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
475958 | 699401 | 2011 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: A robust mean absolute deviation model for portfolio optimization A robust mean absolute deviation model for portfolio optimization](/preview/png/475958.png)
In this paper we develop a robust model for portfolio optimization. The purpose is to consider parameter uncertainty by controlling the impact of estimation errors on the portfolio strategy performance. We construct a simple robust mean absolute deviation (RMAD) model which leads to a linear program and reduces computational complexity of existing robust portfolio optimization methods. This paper tests the robust strategies on real market data and discusses performance of the robust optimization model empirically based on financial elasticity, standard deviation, and market condition such as growth, steady state, and decline in trend. Our study shows that the proposed robust optimization generally outperforms a nominal mean absolute deviation model. We also suggest precautions against use of robust optimization under certain circumstances.
Journal: Computers & Operations Research - Volume 38, Issue 9, September 2011, Pages 1251–1258