Stochastic Optimization for Portfolio Selection Problem with Mean Absolute Negative Deviation Measure
نویسندگان
چکیده
منابع مشابه
Stochastic Optimization for Portfolio Selection Problem with Mean Absolute Negative Deviation Measure
Problem statement: The most important character within optimization problem is the uncertainty of the future returns. Approach: To handle such problems, we utilized probabilistic methods alongside with optimization techniques. We developed single stage and two stage stochastic programming with recourse. The models were developed for risk adverse investors and the objective of the stochastic pro...
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Semi-absolute deviation is a commonly used downside risk measure in the portfolio optimization problem. However, there is no literature on taking semi-absolute deviation as a risk measure in the framework of uncertainty theory. This paper fills the gap by means of defining semi-absolute deviation for uncertain variables and establishes the corresponding mean semi-absolute deviation models in un...
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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...
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ژورنال
عنوان ژورنال: Journal of Mathematics and Statistics
سال: 2009
ISSN: 1549-3644
DOI: 10.3844/jmssp.2009.379.386