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

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R. Agus Sartono; Arie Andika Setiawan; (2009)
  • Publisher: Universitas Islam Indonesia
  • Journal: Jurnal Siasat Bisnis (issn: 0853-7666, eissn: 2528-7001)
  • Subject: Management. Industrial management | HD28-70 | Production management. Operations management | TS155-194

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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