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Journal : Jurnal Ilmiah Poli Rekayasa

Analisis Portofolio Optimal : Pendekatan Mean Variance Pada Harga Komoditas Pangan di Kota Padang Elfa Rafulta -; Roni Tri Putra
Jurnal Ilmiah Poli Rekayasa Vol 15, No 2 (2020): -
Publisher : Pusat Penelitian dan pengabdian kepada Masyarakat (P3M) Politeknik Negeri Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (348.944 KB) | DOI: 10.30630/jipr.15.2.166

Abstract

Investment is a number of commitments or a number of funds or resources made at this time with the aim of obtaining future profits. One method that can be used to form an optimal portfolio is to use the mean variace approach. Asset selection is carried out on food commodities namely rice, eggs, cooking oil, granulated sugar, and red chili. From the data processing it is found that the weight of each commodity is cooking oil (99.95%), eggs (0.03%), granulated sugar (0.04%), red chili is negative (-0.02%), and rice (0.00%). So that it can be estimated that the expected profit is -0.0024% and risk is 0.0001%.
Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia Elfa Rafulta -; Roni Tri Putra
Jurnal Ilmiah Poli Rekayasa Vol 11, No 1 (2015)
Publisher : Pusat Penelitian dan pengabdian kepada Masyarakat (P3M) Politeknik Negeri Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (437.114 KB) | DOI: 10.30630/jipr.11.1.15

Abstract

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.