PERHITUNGAN VALUE AT RISK PADA PORTOFOLIO SAHAM DENGAN METODE VARIANSI-KOVARIANSI

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dc.contributor.authorSiagian, Novita Theresia
dc.contributor.authorNababan, Tumpal Parulian
dc.contributor.authorSirait, Haposan
dc.date.accessioned2016-02-04T04:47:09Z
dc.date.available2016-02-04T04:47:09Z
dc.date.issued2016-02-04
dc.description.abstractThis article discusses the evaluation of value at risk (VaR) for stock portofolio with variance-covariance method. VaR is the estimation of maximum loss which can occur with -level of confidence over a holding period of time. VaR portofolio with variance-covariance method views the portofolio risk from standard deviation of portofolio, which is in standard deviation of portofolio containing variance-covariance matrix from return asset and weighted asset. Assumption of VaR with this method is that the return asset has to have a normal distribution in order the portofolio has the expected return asset not being far different from the established portofolio.en_US
dc.description.sponsorshipFakultas Matematika dan Ilmu Pengetahuan Alam Universitas Riauen_US
dc.identifier.otherwahyu sari yeni
dc.identifier.urihttp://repository.unri.ac.id/xmlui/handle/123456789/7913
dc.language.isoenen_US
dc.subjectvalue at risken_US
dc.subjectstandard deviation of portofolioen_US
dc.subjectreturn asseten_US
dc.titlePERHITUNGAN VALUE AT RISK PADA PORTOFOLIO SAHAM DENGAN METODE VARIANSI-KOVARIANSIen_US
dc.typestudent Paper Post Degreeen_US

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