Asset Allocation in Indonesian Stocks Using Portfolio Robust
The mean-variance portfolio has several weaknesses. It does not accommodate the uncertainty of parameters, tends to be sensitive to the changes of parameter input, and tends to be unreliable on extreme observations. Moreover, it cannot accommodate the changes in investor preferences regarding the ev...
| Автор: | |
|---|---|
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Elsevier
2022
|
| Предмети: | |
| Онлайн доступ: | https://repository.ugm.ac.id/284219/1/Abdurakhman_PA.pdf |