optimization by minimizing the MAD

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Anastasia Kyriakou
Anastasia Kyriakou am 7 Apr. 2021
Beantwortet: Pratyush Roy am 27 Apr. 2021
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
Hi,
The link here might be helpful.
Hope this helps!

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