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Results tagged with mean-variance
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user 2911
Mean-variance is the starting point of most portfolio optimisation techniques.
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How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP metho...
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 …
- 87
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How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP metho...
Konno proposed a LP method for portfolio optimization using the Mean Absolute Deviation (MAD)
- 87