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...
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| 格式: | Article PeerReviewed |
| 語言: | English |
| 出版: |
Elsevier
2022
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/284219/1/Abdurakhman_PA.pdf https://repository.ugm.ac.id/284219/ http://www.hrpub.org https://doi.org/10.13189/ms.2022.100617 |
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| 機構: | Universitas Gadjah Mada |
| 語言: | English |