Abstract
Markowitz legendary work about portfolio optimization is accepted to be the pioneer of the modern portfolio theory. Contrary to its theoretical reputation, it has not been used extensively. Konno and Yamazaki (1991) proposed a new portfolio optimization model as an alternative to Markowitz mean-variance model. They employed L1 - mean absolute deviation - as a risk measure instead of variance, so they could overcome the problem of computational difficulty. Feinstein and Thapa (1993) reformulate the MAD portfolio optimization model so that the maximum number of the stocks invested in decreased. Chang (2005) modified Feinstein and Thapa's model in order that his model has fewer variables and the same number of constraints. This paper aims to compare the mean variance and 3 different MAD portfolios and evaluate their performances. Analysis shows that mean-variance portfolios over performs the MAD portfolios.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
