optimization by minimizing the MAD

1 Ansicht (letzte 30 Tage)
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!

Kategorien

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

Community Treasure Hunt

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

Start Hunting!

Translated by