Portofolio Model Markowitz dan Model Yamazaki dengan Pendekatan Value At Risk

Abstract

ABSTRACT Markowitz introduced portofolio selection method using varians or deviation standard as a measure of risk. Another method was introduced by Yamazaki using mean absolute deviation as the measureof risk. Value at Risk (VaR) is relatively new method to capitalized risk that been used by financial institutions. This study is aimed to compare between men variance and absolute deviation between two portofolios. This study used the secondary data from Indonesian Stock Exchange during 2002.