Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market
In an investment portfolio, investors certainly choose a portfolio according to their preferences for return and risk. The problem is the allocation of investment weights in forming a portfolio, if the risk is in the form of Entropic-Value-at-Risk (EVaR). The purpose of this study is to determine th...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Mathematics Department UIN Maulana Malik Ibrahim Malang
2025-03-01
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| Series: | Cauchy: Jurnal Matematika Murni dan Aplikasi |
| Subjects: | |
| Online Access: | https://ejournal.uin-malang.ac.id/index.php/Math/article/view/30794 |
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