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What is VaR and Expected Returns in LQ45 Portfolios about?

This research investigates the relationship between Value at Risk (VaR) and Expected Portfolio Returns for companies listed on the LQ45 index in Indonesia from 2013 to 2016. The study finds no positive correlation between VaR and expected returns, indicating an inverse relationship where higher returns correspond to lower risk. This contradicts the common assumption of high-risk high-return, as most Indonesian investors prefer low- to medium-risk investments.

Author

dineshmahato1991777

Language

EN