Abstrak 
Mean-VaR Portfolio Optimization Under CAPM by Non Constant Volatility in Return Market
Sukono , Subanar, Dedi Rosadi
Universitas Padjadjaran, Proceeding of The 5th IMT-GT International Conference on Mathematics, Statistics, and their Applications 2009
Bahasa Inggris
Universitas Padjadjaran, Proceeding of The 5th IMT-GT International Conference on Mathematics, Statistics, and their Applications 2009
capm, GARCH models., Kuhn-Tucker theorem., Lagrangean Multiplier, VaR
Problems in this paper is the optimization of investment portfolios based on the mean and the Value-at-Risk (VaR) under the Capital Asset Pricing Model (CAPM) with non constant volatility. In CAPM, the return individual stock (or portfolio) assumed it is influenced by the market return and risk-free return. Here, the market return is assumed has non constant volatility, which will be estimated using GARCH models. The size of the risk of VaR is calculated based on. Mean and VaR will be used for formulation of portfolio optimization problems. Portfolio optimization techniques performed using the Lagrangean multiplier, and the settlement quantile standard normal distribution with a confidence level with the Kuhn-Tucker theorems. Furthermore, these methods will be used to analyze a few stocks that are in the Indonesian capital market.