Search Results - subject:"mean variance portfolio analysis"

Mean-variance portfolio optimization using jackknife empirical likelihood estimation of tail conditional variance

Nargunam, Rupel; Sudheesh, K. K. - 2025

Persistent link: https://www.econbiz.de/10015437097

Fuzzy Portfolio Optimization of Onshore Wind Power Plants

Madlener, Reinhard; Glensk, Barbara; Weber, Veronika - Institut für Future Energy Consumer Needs and Behavior … - 2011

In this paper we apply fuzzy set theory to the portfolio optimization of power generation assets, using a semi-mean absolute deviation (SMAD) model as a benchmark and a fuzzy semi-mean absolute deviation (FSMAD) model for comparison. The two models are applied to five onshore wind power plants...

Persistent link: https://www.econbiz.de/10009143692

Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model

Simaan, Yusif - In: Management Science 43 (1997) 10, pp. 1437-1446

Konno and Yamazaki (Konno, H., K. Yamazaki. 1992. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Management Sci. 39 519--531.) propose the mean absolute deviation (MAD) model as an alternative to the mean variance (MV) model. They claim it...

Persistent link: https://www.econbiz.de/10009191487