PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE
This thesis discusses portfolio optimization using two risk measures, mean-variance model (Markowitz model) and mean absolute deviation model (Konno - Yamazaki model). The constraints of portofolio optimization in this thesis (1) buy-in threshold, a constraint to limit the proportion of each stock,...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/27366 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |