PENERAPAN METODE EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) DAN METODE SEMI VARIANS (SV) DALAM PERHITUNGAN RISIKO PORTOFOLIO SAHAM OPTIMAL

• Autor Principal: Rachman, Faizal (Author)
• Formato: Libro
• Publicado: 2014-12-23.
• Subjects: Thesis; NonPeerReviewed
• Acceso en liña: Link Metadata

Purpose of this study is to calculate the value of the optimal stock portfolio risk. Method used in this research in determining the risk value (Value at Risk) are Exponentially Weighted Moving Average (EWMA) and Semi-Variance (SV). EWMA model is chosen because the data of share value return tend to...