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All Journal Vygotsky: Jurnal Pendidikan Matematika dan Matematika
Nayla Nurul Aisyah
Institut Teknologi Sumatera
Mathematics

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Portfolio Optimization across Various Types of Variance-Covariance Matrices Using The Sequential Quadratic Programming (SQP) Lutfi Mardianto; Mira Mustika; Eristia Arfi; Ramanda Ditra Kristian; Nayla Nurul Aisyah; Prismahardi Aji Riyantoko
Vygotsky: Jurnal Pendidikan Matematika dan Matematika Vol. 8 No. 2 (2026): Vygotsky: Jurnal Pendidikan Matematika dan Matematika
Publisher : Universitas Islam Lamongan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30736/voj.v8i2.1427

Abstract

This study analyzes stocks provided in LQ45 index and compares the performance of ten stocks with highest expected returns between Danantara and non-Danantara groups. The data are used to estimate parameters for optimization. The Markowitz model is employed to construct portfolios based on risk and expected return, requiring the derivation of a variance-covariance matrix. This matrix is compared with those generated by the Single Index Model (SIM) and Constant Correlation Model to evaluate differences among approaches. The nonlinear optimization problem is solved using Sequential Quadratic Programming (SQP). At an expected return of 0.2597%, all matrices allocate weights to a single stock, while setting it to zero changes portfolio proportions without altering the Sharpe ratio.
Co-Authors Eristia Arfi Mardianto, Lutfi Mira Mustika Prismahardi Aji Riyantoko Ramanda Ditra Kristian