MULTI-PERIOD MEAN–VARIANCE PORTFOLIO OPTIMIZATION BASED ON MONTE-CARLO SIMULATION

MULTI-PERIOD MEAN–VARIANCE PORTFOLIO OPTIMIZATION BASED ON MONTE-CARLO SIMULATION

Mean-variance optimization or usually known as the Markowitz portfolio model was a cornerstone of modern portfolio theory. This model helped investors create mathematically optimal portfolios. Generally, the Markowitz portfolio model provided investors with an optimal portfolio for a single time...

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Bibliographic Details
Main Author: Naufal Daffa Andarwan, Muhammad
Format: Final Project
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/74348
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Institution: Institut Teknologi Bandung
Language: Indonesia

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