Zastosowanie modelu MAD z dodatkowymi warunkami ograniczającymi
Application of the MAD model with additional constraints

Summary/Abstract: Usually investment portfolios are constructed using models which include only conditions on the level of risk and expected rate of return of portfolio. Important conditions which result from the situation on the financial market or the preferences of the investor, are very often ignored in the portfolio construction. In the article, the model of selection of the optimal investment portfolios with the mean-absolute deviation as a measure of risk, is disussed. In this model also conditions relating to the number of stocks in porfolio and the level of shares are included. Presented model has been applied to a selected group of data from the Warsaw Stock Exchange. The results of this short study are discussed in the last section of the article.

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