Mean-Variance portfolio optimization by using non constant mean and volatility based on the negative exponential utility function

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Soeryana Endang,Halim Nurfadhlina Bt Abdul,Sukono ,Rusyaman Endang,Supian Sudradjat

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Reference12 articles.

1. A. Kheirollah & O. Bjarnbo. A Quantitative Risk Optimization of Markowitz Model: An Empirical Investigation on Swedish Large Cap List, Master Thesis, in Mathematics/Applied Mathematics, University Sweden, Department of Mathematics and Physics, 2007. www.mdh.se/polopoly_fs/1.16205!MasterTheses.pdf

2. Sukono, Subanar & D. Rosadi, “Pengukuran VaR Dengan Volatilitas Tak Konstan dan Efek Long Memory”, Ph.D. thesis, Universitas Gajah Mada, Yogyakarta, 2011

3. H. H. E. Panjer, et al., Financial Economics: With Applicationsto Investments, Insurance, and Pensions, Schaumburg, Ill.: The Actuarial Foundation, 1998

4. Shi-Jie Deng, Heavy-Tailed GARCH models: Pricing and Risk Management Applications in Power Market, IMA Control & Pricing in Communication & Power Networks (2004), 7-17 Mar http://www.ima.umn.edu/talks/.../deng/power_workshop_ ima032004-deng.pdf

5. R. S. Tsay, Analysis of Financial Time Series, Second Edition, USA: John Wiley & Sons, Inc, 2005

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