optimization by minimizing the MAD

I have collected some real assets and i have calculated the rate of return of those. I have to do portfolio optimization by minimizing the mean absolute deviation of the portfolio subject to the constraint on the expected return. Could someone help me or give me a hint how can this be solved?

Antworten (1)

Pratyush Roy
Pratyush Roy am 27 Apr. 2021

0 Stimmen

Hi,
The link here might be helpful.
Hope this helps!

Kategorien

Mehr zu Portfolio Optimization and Asset Allocation finden Sie in Hilfe-Center und File Exchange

Gefragt:

am 7 Apr. 2021

Beantwortet:

am 27 Apr. 2021

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by