Optimisasi Portofolio Mean-VaR di bawah CAPM Transformasi Koyck dengan Volatilitas Tak Konstan dan Efek Long Memory
In this paper we formulated mean-VaR portfolio optimization through CAPM Koyck transformation. We assumed that lagged of risk premium which have highly influence on stock returns is infinite, while model parameters decrease geometrically. We also assumed that rate of return in risk premium market in...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Petra Christian University
2010-01-01
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| Series: | Jurnal Teknik Industri |
| Subjects: | |
| Online Access: | http://puslit2.petra.ac.id/ejournal/index.php/ind/article/view/18064 |