ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN METODE LEXICOGRAPHIC GOAL PROGRAMMING DENGAN PENDEKATAN VaR – GEV
The stock portfolio is a combination of several stocks that can help reduce investment risk. Risk can be measured using Value at Risk. This study aims to form an optimal portfolio in which stock risk is estimated using VaR with Generalized Extreme Value distribution followed by selecting the optimal...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2022-05-01
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| Series: | E-Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/87210 |