KnE Social Sciences
ISSN: 2518-668X
The latest conference proceedings on humanities, arts and social sciences.
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
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
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