Introducing the mean absolute deviation ‘effect’ size

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...

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...

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

Determining OWA Operator Weights by Mean Absolute Deviation Minimization

The ordered weighted averaging (OWA) operator uses the weights assigned to the ordered values rather than to the specific criteria. This allows one to model various aggregation preferences, preserving simultaneously the impartiality (neutrality) with respect to the individual attributes. The determination of ordered weighted averaging (OWA) operator weights is a crucial issue of applying the OW...