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

• المؤلفون الرئيسيون: Sukono, Sukono, Subanar, Subanar, Rosadi, Dedi
• التنسيق: مقال PeerReviewed
• اللغة: English
• منشور في: JOURNAL OF QUANTITATIVE METHODS 2009
• الموضوعات: Statistics
• الوصول للمادة أونلاين: https://repository.ugm.ac.id/32964/1/5.pdf; https://repository.ugm.ac.id/32964/

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...