Persoalan Pemilihan Portofolio Mencakup Faktor Ketidakpastian
DAFTAR PUSTAKA
Bawa,V.S and Lindenberg,E.B.(1977).Capital market equilibrium in a mean-lower
partial moment framework,Journal of Financial Economics, Vol.5, pp.189200.
Ben-Tal, A., Nemirovski, A. (1999). Robust Solutions of Uncertain Linear Programs. Operations Research Letter, 25(1), pp. 1-13.
Bilbao-Terol, A. Perez-Gladish, B. Arenas-Parra, M. and Rodriguez-Uria, M.V.
(2006). Fuzzy Compromise Programming for Portofolio Selection. Applied
Mathematics and Computation, 173, pp.251-264.
Carlsson, C. Fuller, R. and Majlender, P. (2002). A Possibilistic Approach to Selecting Portofolios with Highest Utility Score. Fuzzy Sets and Systems, 131,
pp. 12-21.
David G. Luenberger,(1997).Investment Science,Oxford Univ. Press,
Dumas B. and Luciano, E. (1991). An exact solution to a dynamic portfolio choice
problem under transacation cost. The Journal of Finance, 46,( 2 ), 577 - 595.
Elton E. J. and M. J. Gruber, (1976), The multi-period consumption investment
prob- lem and single period analysis, Oxford Economic Papers, 26, ( 2 ),289
- 301.
Elton,E.J. Gruber,M.J.(1995).Modern Portfolio Theory and Investment Analysis,Wiley, New York.
Hahn C.K, Duplaga E. A. and Hartley J.L.(2000).Suplply-Chain Sychronization :
Lessons Form Hyundai Motor Companya. Interfaces 30(4) ; 32-45.
Horasanh, M.(2006). Portfolio Selection by Using Time Varying Covariance Matrices. Journal of Economic and Social Research, 9.1-22.
Huang, X. (2006). Fuzzy Change- Constrained Portofolio Selection. Applied Mathematics and Computation, 177,pp. 500-507.
Huang, X. (2007). Two New Models for Portofolio Selection with Stochastic Return Taking Fuzzy Information. European Journal of Operational Research,
180,pp. 396-405.
Husnan, Suad. (1998). Dasar-Dasar Teori Portofolio dan Analisis Sekuritas. Edisi
Ketiga. Yogyakarta: UPP AMP YKPN.
Inuiguchi, M. and Ramik, J. (2000). Possibilitic Linear programming : A Brief
Stochastic Programming in Portofolio Selection Problem. Fuzzy Sets and Systems, 111,pp.3-28.
Inuiguchi, M. and Tanino, T. (2000). Portofolio Selestion Under Independent Possibilitic Information. Fuzzy Sets and Systems, 115,pp.83-92.
Jianfeng liang. (2009). Discrete Analysis of portofolio Selection with Optimal Stopping Times. Journal of Applied Mathematics and Decision Sciences. (5): 1-9.
28
29
Jones, C. Kenneth.(1992). Digital Portofolio Theory ; Computational Economics ;
Vol. 18;pp.287-316.
Katagiri,H. Ishii,H. and Sakawa,M.(2004). On fuzzy random linear knapsack problems,Central European Journal of Operations Research, Vol.12 No.1, pp.5970.
Katagiri,H. Sakawa,M. and Ishii,H.(2005). A study on fuzzy random portfolio selection problems using possibility and necessity measures,Scientiae Mathematicae Japonicae, Vol.65 No.2, pp.361-369.
Konno,H.(1990).Piecewise linear risk functions and portfolio optimization,Journal
of Operations Research Society of Japan, Vol.33, pp.139-159.
Konno,H. Shirakawa,H. and Yamazaki,H.(1993).A mean-absolute deviationskewness portfolio optimization model,Annals of Operations Research, Vol.45,
pp.205-220.
Lintner, B.J. (1965). Valuation of Risky Assets and The Selection of Risky Investments in Stock Portofolio and Capital Budgets, Rev. Econom. Statist,
47,pp,13-37.
Markowitz H, (1952). Portfolio selection, The Journal of Finance. 7,(1),77-91.
Markowitz H, (1959). Portfolio Selection : Effcient Diversification of Invest ments.
Cowles Foundation for Research in Economics at Yale University, Monograph
16, John Wiley & Sons, New York, NY, USA.
Mossin, J. (1966). Equilibrium in Capital Asset Markets. Econometrica, 34(4).pp,
768-783.
Rockfellar, R.T and Uryasev, S. (2000). Optimization of Conditional Value-at-risk.
Journal of Risk, 2(3),pp.1-21.
Sharpe,W.F.(1995).Capital asset prices: A theory of market equivalent under conditions of risk,Journal of Finance, Vol.19(3), pp. 425-442.
Steinbach, Marc C. (1999). Markowitz Revisited : Mean-Variance Model in Financial Portofolio Analysis. SIAM Review, Vol. 43, No.1,pp. 31-85.
Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio. Edisi Pertama.
Yogyakarta : BPFE Yogyakarta.
Tanaka, H. and Guo, P. (1999). Portofolio Selection Based on Upper and Lower Exponential Possibility Distributions. European Journal of Operational
researchrs,114,pp.115-126.
Tanaka, H. Guo, P. and Turksen, L.B. (2000). Portofolio Selection Based
on Fuzzy Probabilities and Possibility Distributions. Fuzzy Sets and
System,111,pp.387-397.
Watada, J. (1997). Fuzzy Portofolio Selection and Its Applications to Decision
Making. Tatra Mountains Math. Pub. 13.pp.219-248.
Bawa,V.S and Lindenberg,E.B.(1977).Capital market equilibrium in a mean-lower
partial moment framework,Journal of Financial Economics, Vol.5, pp.189200.
Ben-Tal, A., Nemirovski, A. (1999). Robust Solutions of Uncertain Linear Programs. Operations Research Letter, 25(1), pp. 1-13.
Bilbao-Terol, A. Perez-Gladish, B. Arenas-Parra, M. and Rodriguez-Uria, M.V.
(2006). Fuzzy Compromise Programming for Portofolio Selection. Applied
Mathematics and Computation, 173, pp.251-264.
Carlsson, C. Fuller, R. and Majlender, P. (2002). A Possibilistic Approach to Selecting Portofolios with Highest Utility Score. Fuzzy Sets and Systems, 131,
pp. 12-21.
David G. Luenberger,(1997).Investment Science,Oxford Univ. Press,
Dumas B. and Luciano, E. (1991). An exact solution to a dynamic portfolio choice
problem under transacation cost. The Journal of Finance, 46,( 2 ), 577 - 595.
Elton E. J. and M. J. Gruber, (1976), The multi-period consumption investment
prob- lem and single period analysis, Oxford Economic Papers, 26, ( 2 ),289
- 301.
Elton,E.J. Gruber,M.J.(1995).Modern Portfolio Theory and Investment Analysis,Wiley, New York.
Hahn C.K, Duplaga E. A. and Hartley J.L.(2000).Suplply-Chain Sychronization :
Lessons Form Hyundai Motor Companya. Interfaces 30(4) ; 32-45.
Horasanh, M.(2006). Portfolio Selection by Using Time Varying Covariance Matrices. Journal of Economic and Social Research, 9.1-22.
Huang, X. (2006). Fuzzy Change- Constrained Portofolio Selection. Applied Mathematics and Computation, 177,pp. 500-507.
Huang, X. (2007). Two New Models for Portofolio Selection with Stochastic Return Taking Fuzzy Information. European Journal of Operational Research,
180,pp. 396-405.
Husnan, Suad. (1998). Dasar-Dasar Teori Portofolio dan Analisis Sekuritas. Edisi
Ketiga. Yogyakarta: UPP AMP YKPN.
Inuiguchi, M. and Ramik, J. (2000). Possibilitic Linear programming : A Brief
Stochastic Programming in Portofolio Selection Problem. Fuzzy Sets and Systems, 111,pp.3-28.
Inuiguchi, M. and Tanino, T. (2000). Portofolio Selestion Under Independent Possibilitic Information. Fuzzy Sets and Systems, 115,pp.83-92.
Jianfeng liang. (2009). Discrete Analysis of portofolio Selection with Optimal Stopping Times. Journal of Applied Mathematics and Decision Sciences. (5): 1-9.
28
29
Jones, C. Kenneth.(1992). Digital Portofolio Theory ; Computational Economics ;
Vol. 18;pp.287-316.
Katagiri,H. Ishii,H. and Sakawa,M.(2004). On fuzzy random linear knapsack problems,Central European Journal of Operations Research, Vol.12 No.1, pp.5970.
Katagiri,H. Sakawa,M. and Ishii,H.(2005). A study on fuzzy random portfolio selection problems using possibility and necessity measures,Scientiae Mathematicae Japonicae, Vol.65 No.2, pp.361-369.
Konno,H.(1990).Piecewise linear risk functions and portfolio optimization,Journal
of Operations Research Society of Japan, Vol.33, pp.139-159.
Konno,H. Shirakawa,H. and Yamazaki,H.(1993).A mean-absolute deviationskewness portfolio optimization model,Annals of Operations Research, Vol.45,
pp.205-220.
Lintner, B.J. (1965). Valuation of Risky Assets and The Selection of Risky Investments in Stock Portofolio and Capital Budgets, Rev. Econom. Statist,
47,pp,13-37.
Markowitz H, (1952). Portfolio selection, The Journal of Finance. 7,(1),77-91.
Markowitz H, (1959). Portfolio Selection : Effcient Diversification of Invest ments.
Cowles Foundation for Research in Economics at Yale University, Monograph
16, John Wiley & Sons, New York, NY, USA.
Mossin, J. (1966). Equilibrium in Capital Asset Markets. Econometrica, 34(4).pp,
768-783.
Rockfellar, R.T and Uryasev, S. (2000). Optimization of Conditional Value-at-risk.
Journal of Risk, 2(3),pp.1-21.
Sharpe,W.F.(1995).Capital asset prices: A theory of market equivalent under conditions of risk,Journal of Finance, Vol.19(3), pp. 425-442.
Steinbach, Marc C. (1999). Markowitz Revisited : Mean-Variance Model in Financial Portofolio Analysis. SIAM Review, Vol. 43, No.1,pp. 31-85.
Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio. Edisi Pertama.
Yogyakarta : BPFE Yogyakarta.
Tanaka, H. and Guo, P. (1999). Portofolio Selection Based on Upper and Lower Exponential Possibility Distributions. European Journal of Operational
researchrs,114,pp.115-126.
Tanaka, H. Guo, P. and Turksen, L.B. (2000). Portofolio Selection Based
on Fuzzy Probabilities and Possibility Distributions. Fuzzy Sets and
System,111,pp.387-397.
Watada, J. (1997). Fuzzy Portofolio Selection and Its Applications to Decision
Making. Tatra Mountains Math. Pub. 13.pp.219-248.