A mean-absolute deviation-skewness portfolio optimization model

1993 ◽  
Vol 45 (1) ◽  
pp. 205-220 ◽  
Author(s):  
Hiroshi Konno ◽  
Hiroshi Shirakawa ◽  
Hiroaki Yamazaki
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Portfolio Optimization Model

scholarly journals Portfolio Optimization Model with and without Options under Additional Constraints

2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
T. Khodamoradi ◽  
M. Salahi ◽  
Ali Reza Najafi
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Financial Models ◽  
Short Selling ◽  
Cardinality Constraints ◽  
Absolute Deviation ◽  
Data Set ◽  
Sharpe Ratios ◽  
Portfolio Optimization Model ◽  
Additional Constraints

In this paper, first, we study mean-absolute deviation (MAD) portfolio optimization model with cardinality constraints, short selling, and risk-neutral interest rate. Then, in order to insure the investment against unfavorable outcomes, an extension of MAD model that includes options is considered. Moreover, since the data in financial models usually involve uncertainties, we apply robust optimization to the MAD model with options. Finally, a data set of S&P index is used to compare the effectiveness of options in the models in terms of returns and Sharpe ratios.

A portfolio optimization model for corporate bonds subject to credit risk

2004 ◽  
Vol 6 (2) ◽  
pp. 31-48 ◽  
Author(s):  
Nagisa Akutsu ◽  
Masaaki Kijima ◽  
Katsuya Komoribayashi
Keyword(s):  
Credit Risk ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Corporate Bonds ◽  
Portfolio Optimization Model
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