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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi Jurnal Ilmiah Matematika Operations Research: International Conference Series International Journal of Quantitative Research and Modeling International Journal of Humanities, Law, and Politics International Journal of Health, Medicine, and Sports International Journal of Linguistics, Communication, and Broadcasting
Vimelia, Willen
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Dentistry Economics, Econometrics & Finance Engineering Environmental Science Health Professions Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Medicine & Pharmacology Nursing Physics Public Health Social Sciences

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Journal : International Journal of Quantitative Research and Modeling

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Investment Portfolio Optimization in Renewable Energy Stocks in Indonesia Using Mean-Variance Risk Aversion Model Vimelia, Willen; Riaman, Riaman; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 1 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i1.601

Abstract

Climate change is a phenomenon that has been occurring for quite some time. However, the increasingly felt impacts of climate change necessitate human action to mitigate these effects. One way to address this issue is by transitioning from conventional or non-renewable energy sources to renewable energy. This step undoubtedly has implications for various aspects, such as investments. Naturally, investors are beginning to turn their attention to the field of renewable energy as a new target. Investments are inherently associated with risks and returns One approach to maximizing returns is through portfolio optimization. One well-known method in portfolio optimization is the Mean-Variance method, also known as the Markowitz method, as it was first introduced by Harry Markowitz. In this research, an optimal portfolio is generated with weights of 0.1470 for ADRO; 0.1939 for MEDC; 0.2143 for ITMG and 0.4449 for RAJA. With this composition of optimal portfolio weights, the expected return is obtained at 0.002252, and the return variance is 0.000496.
Co-Authors Aglia, Arla Agung Prabowo Haq, Fadiah Hasna Nadiatul Hardiva, Ramadhina Kaerudin, Nandira Putri Kahar, Ramadhina Hardiva kalfin Kalfin Lianingsih, Nestia Putri, Estu Razanah, Khalilah Riaman Riaman, Riaman Rini Cahyandari Salih, Yasir Silvia Wijaya Sisilia Sylviani Sukono Sukono Yuningsih, Siti Hadiaty