PORTFOLIO OPTIMIZATION IN MEAN VARIANCE AND VARIANCE WITH SKEWNESS RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
This thesis discusses about portfolio optimization using two different risk measures, in mean variance model by Markowitz and variance with skewness model by Tun-Jen Chang et.al. In the mean variance model Markowitz assumed that the distribution of portfolio return is multivariate normal, but in...
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/32162 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |