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All Journal Journal of Mathematics UNP
Putri, Riris Frishania
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Computer Science & IT Decision Sciences, Operations Research & Management Mathematics

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Analisis Pengukuran Kinerja Portofolio Optimal Pada Indeks LQ-45 dengan Model Korelasi Konstan Putri, Riris Frishania; Helma, Helma
Journal of Mathematics UNP Vol 8, No 4 (2023): Journal Of Mathematics UNP
Publisher : UNIVERSITAS NEGERI PADANG

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24036/unpjomath.v8i4.14505

Abstract

An investment is putting in funds with the goal that it will generate a result in the future. In making investment decisions, investors are inseperable from the consideration of return-risk. The higher return from investors then making the higher risk that will be faced. Therefore, to minimized risk and maximized return, it is necessary to do portfolio analysis. The purpose research is to create an optimal portfolio and measure of performance of the optimal portfolio on LQ-45 index stocks. The results obtained indicate that portfolio A is the optimal of portfolio. The proportion of stocks included in the optimal portfolio are ITMG (68.2%) and MEDC (31.8%) with the expected return from optimal portfolio being 0.33% while the risk is 0.0229. Measuring the performance of each portfolio in a row is portfolio A of 0.093, portfolio B of 0.031, and portfolio C of 0.067. Performance measurement analysis on the optimal portfolio shows that portfolio A has superior performance compared to other portfolios.
Co-Authors Helma Helma