MEAN-VARIANCE INVESTMENT PORTFOLIO OPTIMIZATION MODEL WITHOUT RISK-FREE ASSETS IN JII70 SHARE

Shindi Adha Gusliana, Yasir Salih

Abstract


In investing, investors will try to limit all the risks in managing their investments. Investor strategies to minimize investment risk are diversification by forming investment portfolios, one of which is the Mean-Variance without risk-free assets. The calculation results will show the composition of the optimum portfolio return for each stock that forms the portfolio. Optimum portfolio obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight composition for TLKM, KLBF, INCO, HRUM, and FILM stocks. The composition of this optimal portfolio return is ???? 0.04 with a return of 0.00209 and a portfolio variance of 0.00015. The formation of this portfolio optimization model is expected to be additional literature in optimizing the investment portfolio with the Mean-Variance.


Keywords


Mathematics, Investation

Full Text:

PDF

References


Basuki, Basuki, Sukono Firman, and Ema Carnia. 2017. “Model Optimisasi Portofolio Investasi Mean-Variance Tanpa Dan Dengan Aset Bebas Risiko Pada Saham Idx30.” Jurnal Matematika Integratif 12:107. doi: 10.24198/jmi.v12.n2.11927.107-116.

Best, Michael J., and Robert R. Grauer. 1991. "On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results." The Review of Financial Studies 4(2):315–42.

Bodie, Zvi, Alex Kane, and Alan J. Marcus. 2014. Invesment. 9th ed. Jakarta: Salemba Empat.

Brigham, Eugene F., and Joel F. Houston. 2018. Fundamentals of Financial Management Cegage Learning. Vol. 34. United States of America: Cengage Learning.

Fabozzi, Frank J., and Pamela P. Peterson. 2003. Financial Management and Analysis (Second Edition).

Hartono, J. 2017. Teori Portofolio Dan Analisis Investasi. 11th ed. Yogyakarta: BPFE.

Moehring, A. 2013. Markowitz Portfolio Optimization with Matrix Algebra. New Jersey.

De Moor, Lieven, Frank Cole, Jan Smedts, and Pieter De Ryck. 2008. “The Performance Evaluation of Hedge Funds: Are Investors Mislead by Standard Mean-Variance Statistics?” Tijdschrift Voor Bank- En Financiewezen (4).

Ruppert, D. 2004. Statistics and Finance: An Introduction. New York: Springer-Verlag.

Tandelilin, Eduardus. 2010. Portfolio and Investment Theory and Applications. 1st ed. Yogyakarta: Kanisius.




DOI: https://doi.org/10.46336/ijbesd.v3i4.352

Refbacks

  • There are currently no refbacks.


Add comment

Copyright (c) 2023 International Journal of Business, Economics, and Social Development

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Published By: 

IJBESD: Jalan Riung Ampuh No. 3, Riung Bandung, Kota Bandung 40295, Jawa Barat, Indonesia


IJBESD Indexed By:

width=width=width= width= width= width= 

 

Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License.