Journal of Engineering and Applied Sciences
ISSN: Online 1818-7803ISSN: Print 1816-949x
Abstract
This study will discuss the problems of quadratic investment portfolio without a risk-free asset based on value-at-risk. It is assumed that the risk of an investment portfolio measured by value-at-risk. The resolution of problems that do include: first, formulate models the trade-off problem. Secondly, formulate expectation maximization model of the problem. Third, formulate model minimization of value-at-risk problem. Based on the results of the discussions can be concluded that the trade-off between risk and expected return does not only depend on the type of investor but also on the size of the investment. In a realistic investment situation, it is likely that more constraints, e.g., restriction on short-selling, need to be considered.
How to cite this article:
Sukono , Pramono Sidi, Dwi Susanti and Sudradjat Supian. Quadratic Investment Portfolio Without a Risk-Free Asset Based on Value-at-Risk.
DOI: https://doi.org/10.36478/jeasci.2017.4846.4850
URL: https://www.makhillpublications.co/view-article/1816-949x/jeasci.2017.4846.4850