MEAN-VaR. PORTOFOLIO OPTIMIZATION UNDER CAPM WITH LAGGED, NON CONSTANT VOLATILTY AND THE LONG MEMORY EFFECT

MEAN-VaR. PORTOFOLIO OPTIMIZATION UNDER CAPM WITH LAGGED, NON CONSTANT VOLATILTY AND THE LONG MEMORY EFFECT

In this paper, we discus the method of portfolio optimiz.ation based on the mean and the Value-at-Risk (VaR) under the Capital Asset Pricing Model (CAPM) framework with lagged, non-constant volatility and the long memory effect. In CAPM, the returns of individual stocks (or portfolios) are assum...

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書目詳細資料
Main Authors:	Sukono, Sukono, Subanar, Subanar, Rosadi, Dedi
格式:	Article PeerReviewed
語言:	English
出版:	JOURNAL OF QUANTITATIVE METHODS 2009
主題:	Statistics
在線閱讀:	https://repository.ugm.ac.id/32964/1/5.pdf https://repository.ugm.ac.id/32964/
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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