MAD approach to the management of the portfolio with stable assets
Santrauka
Construction of an investment portfolio is discussed in many papers, but, traditionally when there is no assumption on data series distribution, the standard deviation or variance is assumed as a risk measure. During the last few years historical data series distribution has often been analyzed and new ways of portfolio management proposed. It has been shown that financial data are stable or mixed-stable (in emerging of FOREX markets) distributed. [...]