Mean-risk optimisation of risky assets using variance and Lower Patial Moments (LPM) / Elfa Noren Jajuri and Muhammad Syahmi Norizan

• Main Authors: Jajuri, Elfa Noren, Norizan, Muhammad Syahmi
• Format: Student Project
• Language: English
• Published: 2018
• Subjects: Mathematical statistics. Probabilities; Data processing; Analytical methods used in the solution of physical problems; Problems, exercises, etc.
• Online Access: https://ir.uitm.edu.my/id/eprint/49465/1/49465.pdf; https://ir.uitm.edu.my/id/eprint/49465/

In order to satisfy investment goals, the problem always which models of portfolio must be selected to get the minimum risk given a level of return. Two risk measures namely variance and lower partial moments are con¬ sidered in a mean-risk portfolio selection model. The aim of this research is to m...