| Article ID: | iaor200973027 |
| Country: | Germany |
| Volume: | 7 |
| Issue: | 1 |
| Start Page Number: | 47 |
| End Page Number: | 60 |
| Publication Date: | Jan 2010 |
| Journal: | Computational Management Science |
| Authors: | Konno Hiroshi, Yamamoto Rei, Morita Yuuhei |
| Keywords: | portfolio optimization |
This paper shows that a large-scale maximal predictability portfolio (MPP) optimization problem can be solved within a practical amount of computational time using absolute deviation instead of squared deviation in the definition of the coefficient of determination. Also, we will show that MPP portfolio outperforms the mean-absolute deviation portfolio using real asset data in Tokyo Stock Exchange.