The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
Abstract
The purpose of this paper is to demonstrate that a portfolio optimization model using the L 1 risk (mean absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while maintaining its advantages over equilibrium models. In particular, the L 1 risk model leads to a linear program instead of a quadratic program, so that a large-scale optimization problem consisting of more than 1,000 stocks may be solved on a real time basis. Numerical experiments using the historical data of NIKKEI 225 stocks show that the L 1 risk model generates a portfolio quite similar to that of the Markowitz's model within a fraction of time required to solve the latter.
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Citations
Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
CHEKHLOV, A., URYASEV, S., & ZABARANKIN, M. (2005) · International Journal of Theoretical and Applied Finance · doi:10.1142/s0219024905002767 · Cited by 350
Metadata
- Authors
- Konno, H., & Yamazaki, H.
- Venue
- Management Science
- Published
- 1991-05
- Volume
- 37
- Issue
- 5
- Pages
- 519-531
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W2038865108
- Cited by
- 1,514
- References
- 1
- FWCI
- 9.79
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. https://app.cochat.ai/papers/10.1287/mnsc.37.5.519
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- Konno, H., & Yamazaki, H. (1991). Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. Management Science. https://doi.org/10.1287/mnsc.37.5.519
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
