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All Journal Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan
Laksmi Ayudyanti
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Economics, Econometrics & Finance

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PORTFOLIO OPTIMIZATION MODELING IN THE CONSUMER GOODS INDUSTRY Muthia Ulfa; Ahmad Fauzi Amrullah; Laksmi Ayudyanti; Harry Patria
Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan Vol. 4 No. 6 (2022): Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan
Publisher : Departement Of Accounting, Indonesian Cooperative Institute, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (407.813 KB) | DOI: 10.32670/fairvalue.v4i6.1092

Abstract

Portfolio optimization refers to the process of choosing the proportions of assets to be placed in a portfolio. The objective of this research is to analyze the performance of various portfolio optimization models. This study uses Statistical Calculation R software to analyze the performance of portfolio optimization models, including Monte Carlo with Sharpe Ratio. We will analyze the multi-asset data of the 5 con-stituent consumer goods stocks listed on the Indonesia Stock Exchange (IDX) for 1 year and a half. Then use R to test the stock performance of the model. By using additional risk indicator to assess equity performance, such as volatility, Sharpe ra-tio (SR), risk parity (RP) the result shows that ICBP.JK with 41.5% SR and 28.1% RP that could be a recommendation to invest stocks in this consumer goods industry.
Co-Authors Ahmad Fauzi Amrullah Harry Patria Muthia Ulfa