Portfolio Optimization (The Application of Value at Risk Model on Cross Efficiency)
Markowitz model is the base for modern approach to portfolio optimization problem. Markowitz model is formulated based on mean and variance of portfolio that is calculated based of historical return. Since this model was proposed many effort have been done to improve formulation of portfolio optimiz...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Alzahra University
2017-08-01
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| Series: | راهبرد مدیریت مالی |
| Subjects: | |
| Online Access: | http://jfm.alzahra.ac.ir/article_2874_9eb74fac3f4318a2bc2b9e94642adacf.pdf |