VAR Portfolio Optimal: Perbandingan Antara Metode Markowitz Dan Mean Absolute Deviation
Sartono, R. Agus
Setiawan, Arie Andika
Indonesia | metode simulasi historis | metode delta normal | value-at-risk | mean-absolute deviation | mean-variance | optimalisasi portofolio
Portfolio selection method which have been introduced by Harry Markowitz (1952) used variance or deviation standard as a measure of risk. Kanno and Yamazaki (1991) introduced another method and used mean absolute deviation as a measure of risk instead of variance. The V...