[PDF][PDF] Beyond Mean-Variance Markowitz Portfolio Selection: A Comparison of Mean-Variance-Skewness-Kurtosis Model and Robust Mean-Variance Model.
In this paper, two developments of the classical Markowitz Mean-Variance (MV) portfolio
model are presented, namely, the Mean-Variance-Skewness-Kurtosis (MVSK) portfolio …
model are presented, namely, the Mean-Variance-Skewness-Kurtosis (MVSK) portfolio …
Optimal Portfolio Risk Estimation Using Expected Shortfall of Jakarta Islamic Index (JII) Shares
AR Lestari, DP Sari - Mathematical Journal of Modelling and …, 2024 - mjomaf.ppj.unp.ac.id
Forming an optimal portfolio using the Mean-Variance method with Downside Deviation as a
measure of risk produces a good combination of assets. Before investing, estimating risk as …
measure of risk produces a good combination of assets. Before investing, estimating risk as …