Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market

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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Bibliographic Details
Main Authors: Nurnisaa binti Abdullah Suhaimi, Herlina Napitupulu, Sukono Sukono
Format: Article
Language:English
Published: Mathematics Department UIN Maulana Malik Ibrahim Malang 2025-03-01
Series:Cauchy: Jurnal Matematika Murni dan Aplikasi
Subjects:
evar
investment
optimization
portofolio
return
Online Access:https://ejournal.uin-malang.ac.id/index.php/Math/article/view/30794
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