optimization by minimizing the MAD

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Anastasia Kyriakou
Anastasia Kyriakou on 7 Apr 2021
Answered: Pratyush Roy on 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?

Answers (1)

Pratyush Roy
Pratyush Roy on 27 Apr 2021
The link here might be helpful.
Hope this helps!


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