Abstract
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.
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Konno, H., Morita, Y. & Yamamoto, R. A maximal predictability portfolio using absolute deviation reformulation. Comput Manag Sci 7, 47–60 (2010). https://doi.org/10.1007/s10287-008-0075-2
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DOI: https://doi.org/10.1007/s10287-008-0075-2