Mean Semi-absolute Deviation Model for Uncertain Portfolio Optimization Problem

نویسندگان

  • Yixuan Liu
  • Zhongfeng Qin
چکیده

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 uncertain environment. Finally, numerical examples are presented to illustrate advantages of the proposed approach. c ⃝2012 World Academic Press, UK. All rights reserved.

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تاریخ انتشار 2012