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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Bibliografiska uppgifter

Huvudupphov:	Lucas Pelegrin da Silva, Douglas Alem, Flávio Leonel de Carvalho
Materialtyp:	Artigo
Språk:	Inglês
Utgiven:	Associação Brasileira de Engenharia de Produção (ABEPRO)
Serie:	Production
Ämnen:	Portfolio optimization Mean Absolute Deviation Conditional Value-at-risk Brazilian stock market
Länkar:	http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132017000100302&lng=en&tlng=en
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