Konno proposed a LP method for portfolio optimization using the Mean Absolute Deviation (MAD)
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$\begingroup$ What is that supposed to mean you do the question and the answer in quick succession? $\endgroup$– SRKXCommented Mar 10, 2015 at 9:16
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$\begingroup$ Knowledge sharing since no one else had posed the question $\endgroup$– purbaniCommented Mar 10, 2015 at 9:17
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$\begingroup$ Do you have anything to do with the spreadsheet? With the original/new paper? Your question is not clear enough by the way, like we would like to have a link to the model you refer to, probably integrate in there the main equation. I'd have closed this straightaway. $\endgroup$– SRKXCommented Mar 10, 2015 at 9:29
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$\begingroup$ The spreadsheet is mine. Happy to remove the post if you don't feel anyone will find it of any use. I was simply taking the "Answer your own question – share your knowledge, Q&A-style" at face value. You should be able to download the spreadsheet from the download.xls button after following the link. Alternatively you can use this direct download link academia.edu/attachments/36780111/… $\endgroup$– purbaniCommented Mar 10, 2015 at 9:40
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$\begingroup$ Self promotion ... that's alright, there is a paper and there is a spreadsheet - let me ask you one thing: what is the result - sparse portflios? What is the back-test? I will post a question and you can answer. So far there is some knowledge but a lot of questions open to me. $\endgroup$– Richi WaCommented Mar 10, 2015 at 12:30
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1 Answer
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This spreadsheet shows how to implement Konno's Mean Absolute Deviation (MAD) Portfolio Optimization in Excel using LP Simplex methods.
For strictly multivariate normal underlyings, the method can be shown to be equivalent to the standard Mean Variance Optimization method of Markowitz et al.
The method is based on the paper Further Reduction of the Konno-Yamazaki Mean-Absolute Deviation Portfolio Optimization Model by Mike Fox.
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$\begingroup$ I think you should accept your answer.Thanks $\endgroup$– MalickCommented Jan 5, 2016 at 19:48