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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| Main Authors: | , , |
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| Format: | Article PeerReviewed |
| Language: | English |
| Published: |
JOURNAL OF QUANTITATIVE METHODS
2009
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/32964/1/5.pdf https://repository.ugm.ac.id/32964/ |
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