Optimizing Stock Portfolio with Markowitz Method as a Reference for Investment Community Decisions

Viona Prisyella Balqis, Subiyanto Subiyanto, Sudradjat Supian

Abstract


An investor who wants to invest by avoiding risk makes investors tend to choose investments with the same expected return and the smallest or lowest possible risk. Therefore, investors expect to be able to maximize profits and minimize risk at the same time in investing. In a stock portfolio, it can be done by investing the funds owned by investors into several stocks so that it can reduce the risk of losses that will occur simultaneously. In choosing the right company to invest in with consideration of expected return and risk, a multi-objective optimization with multivariate objects can be used so that it can meet the expectations of investors. The portfolio concept introduced by Markowitz is a portfolio optimization intended for standard investors because it only refers to one explanation of portfolio returns. The Markowitz method can produce an optimal stock portfolio by considering the expected return and risk simultaneously so that the maximum profit can be obtained without eliminating the existing risk.


Keywords


Keywords: Optimization, Expected Return, Risk, Multi-objective Model, Stock Portfolio

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References


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DOI: https://doi.org/10.46336/ijrcs.v2i2.213

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