The Construction and Application of Semi-absolute Deviation Portfolio Models
Jianyuan Huang · Mathematics in Economics · 2010
Through the appropriate transformation of fuzzy membership function and the basic fund portfolio Model,and considering the transaction costs and liquidity constraints,a Minimax-Semi-absolute Deviation portfolio model was given.Selecting five securities's whole years'data of 2008 as the sample data,and according to the different preferences of investors,the optimal investment strategies of the model were solved,and several cases were compared.The results show that this model can reflect the subjective views of the investors and has good flexibility.