QR-kod

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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Sparad:
Huvudupphov: Sukono, Puspa Liza Binti Ghazali, Muhamad Deni Johansyah, Riaman, Riza Andrian Ibrahim, Mustafa Mamat, Aceng Sambas
Materialtyp: Artigo
Språk:Inglês
Utgiven: MDPI AG 2024-06-01
Serie:Computation
Ämnen:
investment portfolio
Markowitz model
risk aversion
value-at-risk
risk-free assets
liability
Länkar:https://www.mdpi.com/2079-3197/12/6/120
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