Optimization Modeling of Investment Portfolios Using The Mean-VaR Method with Target Return and ARIMA-GARCH
This research develops a portfolio optimization model using the Mean-Value at Risk (Mean-VaR) approach with a target return constraint, addressing the gap in models that specific return objectives. The ARIMA-GARCH model is utilized to predict stock returns and volatility, offering precise inputs for...
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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/30042 |
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