KnE Social Sciences

ISSN: 2518-668X

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Optimal Portfolio Analysis of Listed Companies in IDX 30

Published date:May 03 2024

Journal Title: KnE Social Sciences

Issue title: 8th Sriwijaya Economics, Accounting, and Business Conference (8th SEABC 2023)

Pages:787–798

DOI: 10.18502/kss.v9i14.16144

Authors:
Abstract:

Investors face the dual considerations of return and risk when making investment decisions. Therefore, proper analysis is crucial, especially during the COVID-19 crisis, to achieve maximum returns while minimizing risk. This research used three portfolio optimization models, the Mean-Variance Model, the Mean-Absolute Deviation Model and the Value-at-Risk Model, to construct a stock portfolio. The findings indicated that the Mean-Variance Model can yield an expected return of 16.55% and a portfolio risk of 258.66%. The result from the Mean-Absolute Deviation Model was that the target return is 16%, along with a portfolio risk of 282.43%.

Keywords: Portfolio Optimization, Mean-Variance, Mean Absolute Deviation, Value at Risk, R Language, IDX30

References:

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[4] Konno H, Yamazaki H. Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. Manage Sci. 1991;37(5):519–31.

[5] Wang J. Mean-Variance-Var Based Portfolio Optimization. Valdosta; 2000.

[6] At P. Nurmasari I, Susanti F. Pengantar Ilmu Ekonomi. Unpam Press; 2019.

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