PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION

NI KADEK NITA SILVANA SUYASA (Universitas Udayana)
KOMANG DHARMAWAN (Universitas Udayana)
KARTIKA SARI (Universitas Udayana)

E-Jurnal Matematika
Vol 10 No 2 (2021)

Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.