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All Journal International Journal of Supply Chain Management International Journal of Research in Community Services International Journal of Quantitative Research and Modeling
Nurfadhlina Abdul Halim
Faculty of Science and Technology, Universiti Sains Islam Malaysia, MALAYSIA
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Energy Engineering Environmental Science Industrial & Manufacturing Engineering Physics Social Sciences Transportation Other

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Journal : International Journal of Quantitative Research and Modeling

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Investment Portfolio Optimization with a Mean-Variance Model Without Risk-Free Assets Syifa Nur Rasikhah Daulay; Nurfadhlina Abdul Halim; Rizki Apriva Hidayana
International Journal of Quantitative Research and Modeling Vol 3, No 3 (2022)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v3i3.345

Abstract

Investment is an allocation of money, stocks, mutual funds, or other valuable resources provided by someone at the present time and held from being used until a specified period to get a profit (return). The higher the return received, the higher the risk. This study studied the Mean-Variance investment portfolio optimization model without risk-free assets to obtain the optimum portfolio. Five shares are used, namely BMRI, AMRT, SSMS, MLPT, and ANTM. The research results obtained optimal portfolio stocks with respective weights BMRI = 0.45741; AMRT=0.17852; SSMS=0.23300; MLPT=0.08475 and ANTM=0.04632. An optimal portfolio composition produces an average return = 0.00207 and variance = 0.00020.
Co-Authors Candra Budi Wijaya Dwi Susanti Fahmi Sidiq Jumadil Saputra Rizki Apriva Hidayana Stanley Pandu Dewanto Sukono Sukono Sundarapandian Vaidyanatahan Syifa Nur Rasikhah Daulay