PERBANDINGAN MODEL CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM SYARIAH
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چکیده
منابع مشابه
Capital Asset Pricing Model (CAPM) with drawdown measure
The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the average of a specified percentage of the largest drawdowns over an investment horizon and includes maximum and average drawdowns as particular cases. The necessary optimality conditions for a portfolio optimization problem with CDaR yield the capital asset pricing model (CAPM)...
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ژورنال
عنوان ژورنال: MEDIA STATISTIKA
سال: 2019
ISSN: 2477-0647,1979-3693
DOI: 10.14710/medstat.12.1.86-99