Portfolio optimization using Mean Absolute Deviation (MAD) and Conditional Value-at-Risk (CVaR)
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 value at...
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| Publicado no: | Production |
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| Principais autores: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Associação Brasileira de Engenharia de Produção
2017
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=396751070006 https://www.redalyc.org/journal/3967/396751070006/ https://www.redalyc.org/journal/3967/396751070006/html/ https://www.redalyc.org/journal/3967/396751070006/396751070006.epub https://www.redalyc.org/journal/3967/396751070006/movil |
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