The PortScenMinMADA.xlsx Model

Mean Absolute Deviation (MAD) for Portfolio Selection

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Minimize the mean absolute deviation about the mean of the portfolio returns,
subject to achieving a target expected return.

M.A.D = sum( s: probability (s)*|ReturnOfScenario(s) - ExpectedReturn|)

Minimizing MAD can be done using linear programing
because one can linearize: d(s) =|ReturnOfScenario(s) - ExpectedReturn|

Keywords:

Portfolio | Risk Management | MAD | Mean Absolute Deviation |