Bias-Reduced Estimation of Mean Absolute Deviation Around the Median

Detecting outliers: Do not use standard deviation around the mean, use absolute deviation around the median

MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION

In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...

MEAN-ABSOLUTE DEVIATION PORTFOLIO SELECTION MODEL WITH FUZZY RETURNS

In this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. We first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. Then we propose two mean-absolute deviation models by defining risk as abs...

Bahadur Representations for the Median Absolute Deviation and Its Modifications

The median absolute deviation about the median (MAD) is an important univariate spread measure having wide appeal due to its highly robust sample version. A powerful tool in treating the asymptotics of a statistic is a linearization, i.e., a Bahadur representation. Here we establish both strong and weak Bahadur representations for the sample MAD. The strong version is the first in the literatur...

mean-absolute deviation portfolio selection model with fuzzy returns

in this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. we first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. then we propose two mean-absolute deviation models by defining risk as abs...