Investment Portfolio Optimization in Renewable Energy Stocks in Indonesia Using Mean-Variance Risk Aversion Model

Willen Vimelia; Riaman Riaman; Sukono Sukono

doi:10.46336/ijqrm.v5i1.601

Investment Portfolio Optimization in Renewable Energy Stocks in Indonesia Using Mean-Variance Risk Aversion Model

Willen Vimelia, Riaman Riaman, Sukono Sukono

Abstract

Climate change is a phenomenon that has been occurring for quite some time. However, the increasingly felt impacts of climate change necessitate human action to mitigate these effects. One way to address this issue is by transitioning from conventional or non-renewable energy sources to renewable energy. This step undoubtedly has implications for various aspects, such as investments. Naturally, investors are beginning to turn their attention to the field of renewable energy as a new target. Investments are inherently associated with risks and returns One approach to maximizing returns is through portfolio optimization. One well-known method in portfolio optimization is the Mean-Variance method, also known as the Markowitz method, as it was first introduced by Harry Markowitz. In this research, an optimal portfolio is generated with weights of 0.1470 for ADRO; 0.1939 for MEDC; 0.2143 for ITMG and 0.4449 for RAJA. With this composition of optimal portfolio weights, the expected return is obtained at 0.002252, and the return variance is 0.000496.

Keywords

Portfolio Optimization, investment, Mean-Variance, Renewable Energy.

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DOI: https://doi.org/10.46336/ijqrm.v5i1.601