MENENTUKAN SAHAM YANG EFISIEN DENGAN MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM)
نویسندگان
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: E-Jurnal Matematika
سال: 2020
ISSN: 2303-1751
DOI: 10.24843/mtk.2020.v09.i01.p274