لطفی, سمیه

[ 1 ] - مدل میانگین انحراف مطلق با عدم قطعیت روی بازده‌ها برای بهینه‌ سازی سبد سهام

In this paper, mean absolute deviation model for optimal  portfolio selection problem is studied. Due to the uncertainty in the observed returns from financial markets, an improved robust formulation based on Bertsimas and Sim approach  is presented. Then we study the robust model of the problem under correlated uncertainty set and give its equivalent model. Finally,  the performance of the imp...