Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility

Investors generally aim to obtain a high return from their stock portfolio. However, investors must realize that a high value-at-risk (VaR) is essential to calculate for this aim. One of the objects in the VaR calculation is the asymmetric return volatility of stocks, which causes an unbalanced decr...

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Bibliographic Details

Main Authors:	Yuyun Hidayat, Titi Purwandari, Sukono, Igif Gimin Prihanto, Rizki Apriva Hidayana, Riza Andrian Ibrahim
Format:	Artigo
Language:	Inglês
Published:	MDPI AG 2023-11-01
Series:	Mathematics
Subjects:	portfolio optimization mean-value-at-risk model asymmetric return volatility risk aversion preferences ARMA-GJR-GARCH
Online Access:	https://www.mdpi.com/2227-7390/11/23/4761
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