TY  - JOUR
T1  - Quadratic Investment Portfolio Without a Risk-Free Asset Based on Value-at-Risk
AU - Supian, Sudradjat AU - , Sukono AU - Sidi, Pramono AU - Susanti, Dwi 
JO  - Journal of Engineering and Applied Sciences
VL  - 12
IS  - 19
SP  - 4846
EP  - 4850
PY  - 2017
DA  - 2001/08/19
SN  - 1816-949x
DO  - jeasci.2017.4846.4850
UR  - https://makhillpublications.co/view-article.php?doi=jeasci.2017.4846.4850
KW  - Investment portfolio
KW  -value-at-risk
KW  -short-selling
KW  -maximization
KW  -minimization
KW  -discussions
AB  - This study will discuss the problems of quadratic investment portfolio without a risk-free asset based
on value-at-risk. It is assumed that the risk of an investment portfolio measured by value-at-risk. The resolution
of problems that do include: first, formulate models the trade-off problem. Secondly, formulate expectation
maximization model of the problem. Third, formulate model minimization of value-at-risk problem. Based on the
results of the discussions can be concluded that the trade-off between risk and expected return does not only
depend on the type of investor but also on the size of the investment. In a realistic investment situation, it is
likely that more constraints, e.g., restriction on short-selling, need to be considered.
ER  -