Portfolio optimization using Mean Absolute Deviation (MAD) and Conditional Value-at-Risk (CVaR)
Abstract This paper investigates the efficiency of traditional portfolio optimization models when the returns of financial assets are highly volatile, e.g., in financial crises periods. We also develop alternative optimization models that combine the mean absolute deviation (MAD) and the conditional...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Associação Brasileira de Engenharia de Produção (ABEPRO)
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| Series: | Production |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132017000100302&lng=en&tlng=en |
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