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?

回答 (1 件)

Pratyush Roy
Pratyush Roy 2021 年 4 月 27 日

0 投票

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

カテゴリ

ヘルプ センター および File ExchangePortfolio Optimization and Asset Allocation についてさらに検索

質問済み:

2021 年 4 月 7 日

回答済み:

2021 年 4 月 27 日

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by