optimization by minimizing the MAD

I have collected some real assets and i have calculated the rate of return of those. I have to do portfolio optimization by minimizing the mean absolute deviation of the portfolio subject to the constraint on the expected return. Could someone help me or give me a hint how can this be solved?

Respuestas (1)

Pratyush Roy
Pratyush Roy el 27 de Abr. de 2021

0 votos

Hi,
The link here might be helpful.
Hope this helps!

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Más información sobre Portfolio Optimization and Asset Allocation en Centro de ayuda y File Exchange.

Preguntada:

el 7 de Abr. de 2021

Respondida:

el 27 de Abr. de 2021

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