optimal.portfolio.mad {portfolio.optimization}

Portfolio Optimization minimizing MAD

Description

optimal.portfolio.mad conducts a Portfolio Optimization minimizing Mean Absolute Deviation (MAD) based on Konno and Yamazaki (1991)

Usage

optimal.portfolio.mad(model)

Arguments

model

the portfolio.model to compute the portfolio of

Value

the portfolio.model including the newly computed optimal portfolio

Author(s)

Ronald Hochreiter, [e-mail]