Asset Allocation in Indonesian Stocks Using Portfolio Robust

• المؤلف الرئيسي: Abdurakhman, Abdurakhman
• التنسيق: مقال PeerReviewed
• اللغة: English
• منشور في: Elsevier 2022
• الموضوعات: Mathematics and Applied Sciences
• الوصول للمادة أونلاين: 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

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...