Modeling of Mean-Value-at-Risk Investment Portfolio Optimization Considering Liabilities and Risk-Free Assets

This paper aims to design a quadratic optimization model of an investment portfolio based on value-at-risk (VaR) by entering risk-free assets and company liabilities. The designed model develops Markowitz’s investment portfolio optimization model with risk aversion. Model development was carried out...

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Bibliographic Details

Published in:	Computation
Main Authors:	Sukono, Puspa Liza Binti Ghazali, Muhamad Deni Johansyah, Riaman, Riza Andrian Ibrahim, Mustafa Mamat, Aceng Sambas
Format:	Article
Language:	English
Published:	MDPI AG 2024-06-01
Subjects:	investment portfolio Markowitz model risk aversion value-at-risk risk-free assets liability
Online Access:	https://www.mdpi.com/2079-3197/12/6/120