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Results tagged with optimization
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user 2911
The selection of a best element from some set of available alternatives. Typically consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function.
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How can higher co-moments be applied to portfolio optimization in an asset allocation context?
For an small demonstration of the calculation of higher order co-skewness and co-kurtosis tensor matrices in Excel and VBA see;
Portfolio-Analytics-Coskew-and-CoKurt-VBA3
available from enter link d …
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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. … 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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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) …
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