Risk minimization for a portfolio using mean absolute deviation and conditional value-at-risk / Iylia Lyiana Rahim, Siti Ayuni Mohd Jamil and Nur Anis Mohd Aziz
This research focused on minimizing the risk of portfolios using mean¬ Mean Absolute Deviation (mean-MAD) and mean-Conditional Value--at¬ Risk (mean-CVaR) as mean-risk models. Since MAD and CVaR comes from different types of risk measure, they have different computational methods and hold onto diffe...
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| Main Authors: | , , |
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| Format: | Student Project |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://ir.uitm.edu.my/id/eprint/39214/1/39214.pdf http://ir.uitm.edu.my/id/eprint/39214/ |
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