Comparasion target motad y motad

Buletin USAMV-CN, 64 /2007 (-) ISSN 1454-2382

TARGET MINIMIZATION OF TOTAL ABSOLUTE DEVIATIONS (TARGET MOTAD) VERSUS MOTAD: CALIFORNIA STATE TAXES
Balazs, Simona E.*, T. Harris**, Diana E.Dumitras***
*University of Kentucky, Lexington, USA, e-mail: simona.balazs@uky.edu, **University of Nevada, Reno, USA, ***USAMV Cluj-Napoca, Romania Key words: MOTAD, Target MOTAD, portfolio analysisSUMMARY

MOTAD and Target MOTAD procedures are alternatives to mean-variance quadratic programming analysis and employ linear programming procedures to derive efficient portfolios. Target MOTAD hasseveral advantages over MOTAD. A very important one is that allows for estimation not only at the average but also at the tails of the distribution, where the worst conditions occur. In Target MOTAD theexpected returns below the target equal the negative deviations from MOTAD analyze (Table1).
State of California, MOTAD and Target MOTAD comparison Tabel 1 Mean annual growth rate 0.06 0.07 0.08 0.090.098 0.1 Summation of negative deviations 0.4940 0.2050 0.3181 0.4775 0.7419 0.8087 Taxes (%): - property tax 0 0.74 20.13 33.83 8.25 0 - general sales tax 49.51 62.83 9.22 0 0 0 - corporation incometax 50.49 0 0 0 0 0 - individual income tax 0 11.98 26.51 48.46 91.75 100.00 - all other taxes 0 24.45 44.14 17.71 0 0 Total 100 100 100 100 100 100 Taxes (%): - property tax 0 0 0 0 0 0 - generalsales tax 0 0 0 0 0 0 - corporation income tax 0 0 0 0 0 0 - individual income tax 100.00 100.00 100.00 100.00 100.00 100.00 - all other taxes 0 0 0 0 0 0 Total 100 100 100 100 100 100

MOTAD

TargetMOTAD

Conclusions are: i) as risk increases, mean annual growth increases, as well; ii) Target MOTAD generates higher values for the same growth rates. Thus, minimizing only the negativedeviations leads to more efficient portfolios. The model incorporates a safety level of growth and also allows negative deviations from that safety level. Target MOTAD measures risk from a difference point...