VAR Portfolio Optimal: Perbandingan Antara Metode Markowitz dan Mean Absolute Deviation
R. Agus Sartono
Arie Andika Setiawan
- Publisher: Universitas Islam Indonesia
Jurnal Siasat Bisnis
(issn: 0853-7666, eissn: 2528-7001)
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...