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- W2558910792 abstract "In this paper we analyzed the multi-objective portfolio optimization problem, ie maximization of expected return and minimizing the risk of an investment portfolio. Portfolio risk in this matter was measured by using Value-at-Risk. Both expected return and Value-at-Risk portfolio estimated by using the time series approach, i.e. the mean and volatility are assumed to have non-constant. The non-constant mean is estimated using models of autoregressive moving average, while the non-constant volatility is estimated using models of autoregressive conditional heteroscedastic. To solve the multi objective portfolio optimization problem mentioned above done by using greedy search algorithm. As a numerical illustration in the multi-objective portfolio optimization problem was analyzed five stocks traded on the stock market in Indonesia. Portfolio optimization results obtained that the maximum expected return is 0.001204 and the minimum Value-at-Risk is 0.016006." @default.
- W2558910792 created "2016-12-08" @default.
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- W2558910792 date "2013-01-01" @default.
- W2558910792 modified "2023-09-26" @default.
- W2558910792 title "Multi Objective Portfolio Optimization Based on Value-at-Risk by Non Constant Volatility and Using Greedy Search" @default.
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