Open AccessESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
Author(s) -
DERY MAULANA,
Komang Dharmawan,
I Gusti Ayu Made Srinadi
Publication year - 2022
Publication title -
e-jurnal matematika
Language(s) - Uncategorized
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2022.v11.i02.p372
Subject(s) - cvar , vine copula , copula (linguistics) , econometrics , quantile , expected shortfall , value at risk , mathematics , portfolio , statistics , economics , financial economics , risk management , management