Mean Semi-absolute Deviation Model for Uncertain Portfolio Optimization Problem

摘要

Semi-absolute deviation is a commonly used downside risk measure in the portfolio optimization problem. However, there is no literature on taking semi-absolute deviation as a risk measure in the framework of uncertainty theory. This paper fills the gap by means of defining semi-absolute deviation for uncertain variables and establishes the corresponding mean semi-absolute deviation models in uncertain environment. Finally, a numerical example are presented to illustrate the application of the proposed approach.