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All Journal Jambura Journal of Mathematics International Journal of Research in Community Services International Journal of Quantitative Research and Modeling Pattimura Proceeding : Conference of Science and Technology International Journal of Ethno-Sciences and Education Research
Rizki Apriva Hidayana
Program Studi Magister Matematika, Fakultas MIPA, Universitas Padjadjaran, Indonesia
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Investment Portfolio Optimization With Mean-Variance Investment Portfolio Optimization Model Without Risk Free Assets Wilda Nur Rahmalia; Dwi Susanti; Rizki Apriva Hidayana
International Journal of Quantitative Research and Modeling Vol. 3 No. 4 (2022): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v3i4.360

Abstract

Forming a portfolio is a strategy that is often carried out by investors in risky investment conditions. Five non-risk free stocks were selected, namely PTBA, IPCM, ANTM, BUMI, and ADMF. The purpose of forming this portfolio is to determine the composition of the weight (proportion) of the allocation of funds in each of these shares in forming the optimum portfolio. The method used is the Mean-Variance investment portfolio optimization model without risk-free assets using the Markowitz approach. Based on the results obtained by the optimum portfolio of the Mean-Variance model without risk-free assets, the average return is 0.00105 and the variance is 0.000067 with a portfolio ratio value of 14.65256. The proportion of fund allocation to PTBA shares = 0.28872; IPCM=0.02484; ANTM=0.00016; EARTH=0.13501; and ADMF=0.55126. It is hoped that the formation of this portfolio optimization model will be useful as an alternative for investors in optimizing the investment portfolio to make it more profitable in the future. 
Co-Authors Ahmad Fawaid Ridwan Budi Nurani Ruchjana Dwi Susanti Emmanuel Parulian Sirait Jumadil Saputra Nurfadhlina Abdul Halim Subiyanto Subiyanto Sudradjat Supian Syifa Nur Rasikhah Daulay Usman A. Yakubu Wilda Nur Rahmalia Yasir Salih