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All Journal Operations Research: International Conference Series International Journal of Global Operations Research International Journal of Quantitative Research and Modeling International Journal of Ethno-Sciences and Education Research International Journal of Mathematics, Statistics, and Computing International Journal of Humanities, Law, and Politics International Journal of Linguistics, Communication, and Broadcasting
Salih, Yasir
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Religion Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Physics Social Sciences Transportation Other

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Journal : Operations Research: International Conference Series

 1 
Mean-Variance Investment Portfolio Optimization Model Without Risk-Free Assets in Jii70 Share Gusliana, Shindi Adha; Salih, Yasir
Operations Research: International Conference Series Vol. 3 No. 3 (2022): Operations Research International Conference Series (ORICS), September 2022
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v3i3.185

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 𝜏 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.
Indirect Methods for Personalized Mean-CVaR Portfolio Optimization Setyawan, Deva Putra; Salih, Yasir
Operations Research: International Conference Series Vol. 6 No. 2 (2025): Operations Research International Conference Series (ORICS), June 2025
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v6i2.385

Abstract

This study presents a reformulation of the Personalized Mean-CVaR model into an unconstrained optimization problem, which is then solved using iterative methods, including steepest descent and Newton’s method. The reformulation introduces challenges related to feasibility region checking, convexity of the feasible set and objective functions, and the use of Lagrange multipliers to handle constraints. Additionally, Taylor expansion is utilized to approximate the objective function in each iteration. The research evaluates the effectiveness of iterative optimization techniques in solving the Personalized Mean-CVaR problem, while addressing key challenges in convergence and stability of the solution.
Co-Authors Amal, Moh. Alfi Amalia, Hana Safrina Bambang Sugiharto Bon, Abdul Thalib Bin Chayandari, Rini Dhamayanti, Fildha Eneng Tita Tosida Fasa, Rayyan Al Muddatstsir Gusliana, Shindi Adha Hafiz, Syauqi Abyan Hafizi, Muhamad Haposan Sirait Ibrahim, Riza Andrian Jahiruddin, Jahiruddin Jaizul, Alim kalfin Kalfin Kalfin, Kalfin Laksito, Grida Saktian Mugi Lestari, Mugi Pangestika, Almira Ajeng Pirdaus, Dede Irman Rini Cahyandari Saputra, Renda Sandi Setyawan, Deva Putra Sidiq, Fahmi Sri Agustina, Sri Subandi, Kotim Sugara, Victor Ilyas Suhaimi, Nurnisaa binti Abdullah Sukono Sukono Vimelia, Willen Yohandoko, Setyo Luthfi Okta