Article Per Year (5 Year)
p-Index From 2020 - 2025
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This Author published in this journals
All Journal Journal of Entrepreneurship & Business
Christine Adi Njotosutikto
Universitas Surabaya
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Testing of Performance: International Versus Domestic Portfolio Christine Adi Njotosutikto; Putu Anom Mahadwartha
Journal of Entrepreneurship and Business Vol. 1 No. 2 (2020): Journal of Entrepreneurship and Business (September)
Publisher : Program MM Universitas Surabaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1018.32 KB) | DOI: 10.24123/jeb.v1i2.2895

Abstract

This research investigates performance of portfolio with international portfolio and domestic portfolio. Buttler (2012) and Solnik (1974) explained that diversification of international portfolio will reduce risk of portfolio better than domestic portfolio. To measure performance of portfolio this research uses Treynor, Sharpe and Jensen Alpha. This research uses single index model to formed optimal international and domestic portfolio. Test showed that international portfolio have a better performance than domestic portfolio based on Treynor and Sharpe measurement. However, domestic portfolio have a better performance than international portfolio in higher return (Jensen measurement) and high risk.
Co-Authors Putu Anom Mahadwartha