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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Bibliographic Details

Main Authors:	Rahim, Iylia Lyiana, Mohd Jamil, Siti Ayuni, Mohd Aziz, Nur Anis
Format:	Student Project
Language:	en
Published:	2019
Subjects:	Mathematical statistics. Probabilities Analytical methods used in the solution of physical problems
Online Access:	https://ir.uitm.edu.my/id/eprint/39214/1/39214.pdf https://ir.uitm.edu.my/id/eprint/39214/
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