Portofolio : Manajemen Risiko dengan kendala CVAR-Like

Nurhana Dhea Parlina


Portofolio alloccition model ini o account asymmetric miture of assel retUrti distribulion. Added, Cvar constraints in tradilional optimimizalion problem to reshupe the lail portofolio contribution while not significantly affecting its means and variance. Our numerical analysis provides empjrical support for ejfecliveness approacli \ve call MV + Cvar apprdach to controlling ciownside risk way improve.* skewness of means - varianceportofolios expecially for high variance ofportofolios.

Keywords: Assets distribution, MV, Cvar, Mean, Variance.

Teks Lengkap:



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