Ditemukan 1 dokumen yang sesuai dengan query
Agung D. Buchdadi
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ABSTRAK
The objective of this research is to examine maximum losses when investor invests on syariah based stock. Markowitz model is used for constructing the optimal portfolio. Value at Risk Model is also used for calculating the expected losses. The research indicates that volatility seems to cluster in a predictable fashion. Therefore the research forecasts variances used exponentially weighted moving average (EWMA) model. This research also aims to evaluate whether the EWMA model can predict variances ...
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[Universitas Negeri Jakarta. Fakultas Ekonomi UI, Fakultas Ekonomi UI], 2008
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