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PREDIKSI VALUE AT RISK (VAR) PORTOFOLIO BIVARIAT DENGAN MENGGUNAKAN PENDEKATAN METODE SIMULASI MONTE CARLO-COPULA GAUSSIAN DAN VARIANSI-KOVARIANSI (Studi Kasus : Saham Mingguan Perusahaan Samsung Electronics Co., Ltd (005930.KS) dan Apple Inc (AAPL) Pada Tahun 2017)
(Universitas Islam Indonesia, 2018-11-15)
Investment always related to risk, risk can be predicted using Value at Risk (VaR), calculation of VaR uses stock return value of time series data and there are several methods used. This research of VaR predicton focuses ...