Investment Portfolio Optimization with a Mean-Variance Model Without Risk-Free Assets

Syifa Nur Rasikhah Daulay (Mathematics Undergraduate Study Program, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jatinangor, Indonesia)
Nurfadhlina Abdul Halim (Faculty of Science and Technology, Universiti Sains Islam Malaysia, Malaysia)
Rizki Apriva Hidayana (Master's Program of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jatinangor, Indonesia)

International Journal of Quantitative Research and Modeling
Vol 3, No 3 (2022)

Investment is an allocation of money, stocks, mutual funds, or other valuable resources provided by someone at the present time and held from being used until a specified period to get a profit (return). The higher the return received, the higher the risk. This study studied the Mean-Variance investment portfolio optimization model without risk-free assets to obtain the optimum portfolio. Five shares are used, namely BMRI, AMRT, SSMS, MLPT, and ANTM. The research results obtained optimal portfolio stocks with respective weights BMRI = 0.45741; AMRT=0.17852; SSMS=0.23300; MLPT=0.08475 and ANTM=0.04632. An optimal portfolio composition produces an average return = 0.00207 and variance = 0.00020.