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KADEK FRISCA AYU DEVI
Universitas Udayana
Mathematics

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ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK KADEK FRISCA AYU DEVI; KOMANG DHARMAWAN; NI MADE ASIH
E-Jurnal Matematika Vol 2 No 1 (2013): E-Jurnal Matematika
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2013.v02.i01.p025

Abstract

Utility function can use to give risk preference for investors who want to get the benefits gained meets investment targets. Quadratic utility functions on optimal portfolio is strongly influenced by the expected return and standard deviation. The establishment of optimal portfolios using a quadratic utility function optimization problems. Under the settlement portfolio optimization, the necessary data is expected return, variance, and variance covariance matrix. The optimal portfolio is affected by some factors Risky less Rate, risk aversion index, and Borrow Rate. The results of settlement portfolio optimization is obtaining the utility value while the relatively large changes influencing by risk averse index.
Co-Authors Komang Dharmawan Ni Made Asih