CONSTANT CORRELATION MODEL FOR OPTIMAL PORTFOLIO FORMATION AND EXPECTED SHORTFALL RISK MEASUREMENT: EMPIRICAL EVIDENCE FROM INDONESIAN STOCK MARKET
Stock investment is one option of investment choice with risks. Investors can reduce their risk by combining several stocks and then forming a portfolio. One method to form an optimal portfolio is by using the Constant Correlation Model (CCM) method. The CCM method focuses on the correlation bet...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
“Victor Slăvescu” Centre for Financial and Monetary Research
2023-06-01
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| Series: | Financial Studies |
| Subjects: | |
| Online Access: | http://fs.icfm.ro/Paper02.FS3.2023.pdf |