Friday, July 24, 2015

What are pros and cons of mean absolute deviation portfolio optimization?


In this question a paper about mean absolute deviation portfolio optimization is mentioned and in the answer a spreadsheet with an implementation is attached.


What is the use of this procedure? Does it produce sparse portfolios (it says something about the number of zeros)? Does it give better results than mean-variance optimization? Can we see a back-test? Reference to a back test?




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