Indonesian Journal of Applied Mathematics
Vol. 4 No. 2 (2024): Indonesian Journal of Applied Mathematics Vol. 4 No. 2 October Chapter

Optimasi Portofolio Berdasarkan Model Mean-Variance dengan menggunakan Lagrange Multiplier pada saham IDX30

Abdallah, Muhammad Naif (Unknown)
Febrianti, Werry (Unknown)
Mardianto, Lutfi (Unknown)

Article Info

Publish Date
31 Jan 2025

Abstract

This study aims to optimize the portofolio of stocks included in the IDX30 index using the Mean-Variance model developed by Markowitz. The Lagrange Multiplier method is used in this study to determine the optimal fund allocation by minimizing risk and optimizing expected return. The data used is the daily closing price of stocks from 15 companies listed in the IDX30 index over the last five years (2019-2024). The results show that the Mean-Variance and Lagrange Multiplier methods are effective in identifying the optimal portofolio that can minimize investment risk while maximizing returns

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Journal Info
Indonesian Journal of Applied Mathematics
Website

Abbrev

indojam

Publisher

Institut Teknologi Sumatera

Subject

Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Physics

Description

Indonesian Journal of Applied Mathematics is a scientific publication media that publishes articles from the results of research or studies in the field of applied mathematics, focusing on Computational Mathematics, Optimization, Actuarial, Statistics, Numerical Modelling, Mathematical Physics, ...