Arsip VaR

Forecasting World Oil Price and its Volatility

Fossil fuel like oil is one major commodity that can ...

Optimisasi Portofolio Mean-VaR Dengan Volatilitas Tak Konstan Dan Efek Long Memory

Fluctuation of the stock price movement often follows the time ...

Reward To Value-at-risk Sebagai Alat Pengukuran Kinerja Portofolio Investasi

Dalam paper ini dibahas masalah pengukuran kinerja portofolio berdasarkan ukuran ...

Mean-VaR Portfolio Optimization Under CAPM by Non Constant Volatility in Return Market

Problems in this paper is the optimization of investment portfolios ...

Optimisasi Portofolio Mean-VaR Di Bawah Model Indeks Berganda Dengan Volatilitas Tak Konstan Dan Efek Long Memory

Dalam paper ini akan dibahas perumusan optimisasi portofolio Mean-VaR di ...

A Portfolio Selection Problem With Possibilistic Approach

We consider a mathematical programming model with probabilistic con-straints and ...