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All Journal Aptisi Transactions on Technopreneurship (ATT) Operations Research: International Conference Series International Journal of Global Operations Research International Journal of Quantitative Research and Modeling International Journal of Applied Mathematics, Sciences, and Technology for National Defense International Journal of Mathematics, Statistics, and Computing
Ismail, Muhammad Iqbal Al-Banna
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Humanities Biochemistry, Genetics & Molecular Biology Chemistry Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Mathematics Physics Social Sciences

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Journal : Operations Research: International Conference Series

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Health Sector Portfolio Optimization Using the Markowitz Approach with Risk Aversion and Risk Tolerance Parameters Ismail, Muhammad Iqbal Al-Banna; Pirdaus, Dede Irman
Operations Research: International Conference Series Vol. 5 No. 4 (2024): Operations Research International Conference Series (ORICS), December 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i4.352

Abstract

This study analyzes the optimal portfolio formation of health sector stocks listed on the Indonesia Stock Exchange using the Markowitz approach with dual risk parameters. Unlike traditional mean-variance optimization, this research incorporates both risk aversion (ρ) and risk tolerance (τ) parameters to better accommodate varying investor risk preferences. Using daily closing price data from six health sector stocks during the period January 2022 to December 2023, this study employs web scraping techniques for data collection and implements portfolio optimization calculations. The results show that the dual risk parameters approach produces consistent portfolio weights across both risk measures, with SIDO.JK receiving the highest allocation (approximately 41.6%) followed by SOHO.JK (23.0%) and SILO.JK (16.9%). The efficient frontier analysis demonstrates portfolio risk ranges from 0.015 to 0.030 with returns between 0.10% to 0.45%. This study contributes to the literature by demonstrating how incorporating dual risk parameters can provide more nuanced portfolio allocations while maintaining the fundamental benefits of diversification.
Co-Authors Atmadi, Atmadi Dihna, Elza Rahma Dwiputra, Muhammad Bintang Eighista Etty Puji Lestari Hernawati, Depie Khafsah Joebaedi Lase, Sepandil Laras Muhammad Afif Negara, I Putu Aditya Brama Putra Cakra Pirdaus, Dede Irman Primayesa, Elvina Saputra, Renda Sandi Sucihatiningsih Dian Wisika Prajanti Supena, Yusup Syalaisa, Najlaa Tarigan, Nieldy R Yuningsih, Siti Hadiaty