PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE

• 主要作者: DINI (NIM : 20115030), FITRIA
• 格式: Theses
• 語言: Indonesia
• 在線閱讀: https://digilib.itb.ac.id/gdl/view/27366

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,...