International Journal of Research in Community Services
Vol 1, No 3 (2020)

Markowitz Model Investment Portfolio Optimization: a Review Theory

Nurfadhlina Abdul Hali (Scopus ID: 55898510900 Universiti Sains Islam Malaysia (USIM),)
Ari Yuliati (Unknown)

Article Info

Publish Date
04 Oct 2020

Abstract

In the face of investment risk, investors generally diversify and form an investment portfolio consisting of several assets. The problem is the fiery proportion of funds that must be allocated to each asset in the formation of investment portfolios. This paper aims to study the optimization of the Markowitz investment portfolio. In this study, the Markowitz model discussed is that which considers risk tolerance. Optimization is done by using the Lagrangean Multiplier method. From the study, an equation is obtained to determine the proportion (weight) of fund allocation for each asset in the formation of investment portfolios. So by using these equations, the determination of investment portfolio weights can be determined by capital.

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Journal Info
International Journal of Research in Community Services
Website

Abbrev

ijrcs

Publisher

Research Collaboration Community

Subject

Economics, Econometrics & Finance Energy Engineering Social Sciences Other

Description

Community Services is an implementation activity of science, technology and cultural arts directly to the community institutionally through scientific methodology as a translation of the Tri Dharma of Higher Education,as well as the responsibility of scientists in efforts to develop community ...