VAR Portfolio Optimal: Perbandingan Antara Metode Markowitz Dan Mean Absolute Deviation

Unknown Indonesian OPEN
Sartono, R. Agus; Setiawan, Arie Andika; (2006)
  • Subject: 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... View more
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