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

Keysha Salsabila SaputraTelkom University

Nora Amelda Rizalnorarizal@telkomuniversity.ac.idTelkom University

Astire KrisnawatiTelkom University

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

[1] Lubis T. Manajemen Investasi dan Perilaku Konsumen. Salim Media Indonesia; 2016.

[2] Tandelilin E. Portofolio dan Investasi: Teori dan Aplikasi. Kanisius; 2010.

[3] Markowitz H. Portfolio Selection. J Finance. 1952;7:77–91.

[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.

[7] Hidayat H, Saepudin D, Palupi I. E-Proceeding of Engineering. 2015;2:8042–56.

[8] Hartono J. Teori Portofolio dan Analisis Investasi. 11th ed. Bpff; 2017.

[9] Rizal, Nora Amelda, Wiryono, Et Al. Dynamic Portfolio Under Defaulty Assets.

[10] Kulali I. Portfolio Optimization Analysis With Markowitz Quadratic Mean-Variance Model. Eur J Bus Manag. 2016;8:73–9.

[11] Stambaugh F. Risk And Value-At-Risk. Eur Manage J. 1996;14(6):612–21.