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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Autori principali:	Lucas Pelegrin da Silva, Douglas Alem, Flávio Leonel de Carvalho
Natura:	Artigo
Lingua:	Inglês
Pubblicazione:	Associação Brasileira de Engenharia de Produção (ABEPRO)
Serie:	Production
Soggetti:	Portfolio optimization Mean Absolute Deviation Conditional Value-at-risk Brazilian stock market
Accesso online:	http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132017000100302&lng=en&tlng=en
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