mean-absolute deviation – Optimization Online

Robust and Distributionally Robust Risk Budgeting with Mean Absolute Deviation

Published: 2026/10/12, Updated: 2026/10/14

We propose robust and distributionally robust formulations of the risk budgeting problem under the mean absolute deviation (MAD) risk measure. The proposed models address uncertainty in asset returns and their distribution while allocating portfolio risk according to prescribed risk budgets. We first develop a robust model in which historical return observations are perturbed within a … Read more

Coherent Risk Measures in Inventory Problems

Published: 2005/12/19

Production and Logistics, Stochastic Programming coherent risk measures, conditional-value-at-risk, inventory models, mean-absolute deviation, newsvendor problem

We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying treatment of risk averse and min-max type formulations. For the single period newsvendor problem, we show that the structure of the optimal … Read more