PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO
Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data. Historical data is processed so as to obtain stock returns, variance, correlation coef...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2012-09-01
|
| Series: | E-Jurnal Matematika |
| Subjects: | |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/1664 |