VAR Portfolio Optimal: Perbandingan Antara Metode Markowitz dan Mean Absolute Deviation
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 Value-at Risk (VaR) is a relati...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Islam Indonesia
2009-05-01
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| Series: | Jurnal Siasat Bisnis |
| Online Access: | https://jurnal.uii.ac.id/JSB/article/view/410 |