Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility

Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility

Investors generally aim to obtain a high return from their stock portfolio. However, investors must realize that a high value-at-risk (VaR) is essential to calculate for this aim. One of the objects in the VaR calculation is the asymmetric return volatility of stocks, which causes an unbalanced decr...

Full description

Bibliographic Details
Main Authors: Yuyun Hidayat, Titi Purwandari, Sukono, Igif Gimin Prihanto, Rizki Apriva Hidayana, Riza Andrian Ibrahim
Format: Article
Language:English
Published: MDPI AG 2023-11-01
Series:Mathematics
Subjects:
portfolio optimization
mean-value-at-risk model
asymmetric return volatility
risk aversion preferences
ARMA-GJR-GARCH
Online Access:https://www.mdpi.com/2227-7390/11/23/4761

Internet

https://www.mdpi.com/2227-7390/11/23/4761

Similar Items