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

Article English OPEN
R. Agus Sartono; Arie Andika Setiawan;
(2009)
  • Publisher: Jurnal Siasat Bisnis
  • Journal: Jurnal Siasat Bisnis (issn: 2528-7001, eissn: 0853-7666)
  • Publisher copyright policies & self-archiving
  • 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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