| Autor: |
Salsabilla, Aurelia Diva, Maruddani, Di Asih I., Rusgiyono, Agus |
| Předmět: |
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| Zdroj: |
AIP Conference Proceedings; 2023, Vol. 2738 Issue 1, p1-10, 10p |
| Abstrakt: |
Portfolio exists as an effort to minimize risk in investing by combining several assets. Investors are required to be able to determine strategies in choosing and weighting the assets in forming an optimal portfolio to get maximum expected return with a certain level of risk. This study discusses the risk measurements of optimal portfolio based on Mean-Value at Risk optimization. Determination of weight to achieve an optimal portfolio is often done by the Mean-Variance optimization process. However, the Mean-Variance has a weakness, the variance in the Mean-Variance is often questioned as to its suitability as a risk parameter. As an alternative to overcome the weakness of Mean-Variance is to use Mean-Value at Risk with VaR is used as a substitute for variance. The Mean-VaR portfolio optimization in this study is done by using matrix algebra approach and Lagrange multiplier to obtain the optimal weight point in the formed portfolio. Out of 23 stocks of IDX30 listed in the evaluation period of August 2019 to January 2021 that have been analyzed, the optimal portfolio composition is obtained to CPIN (16,11%), ERAA (18,74%) and TLKM (65,16%) of weight proportion. As result, the VaR of the optimal portfolio is 3,99%. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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