Optimization of investment portfolio weight of stocks affected by market index

Autor:	E. Azizah, Sudradjat Supian, Endang Rusyaman
Rok vydání:	2017
Předmět:	symbols.namesake Portfolio insurance Financial economics Single-index model Lagrange multiplier symbols Business Variance (accounting) Portfolio optimization Portfolio investment Stock market index Selection (genetic algorithm)
Zdroj:	IOP Conference Series: Materials Science and Engineering. 166:012008
ISSN:	1757-899X 1757-8981
DOI:	10.1088/1757-899x/166/1/012008
Popis:	Stock price assessment, selection of optimum combination, and measure the risk of a portfolio investment is one important issue for investors. In this paper single index model used for the assessment of the stock price, and formulation optimization model developed using Lagrange multiplier technique to determine the proportion of assets to be invested. The level of risk is estimated by using variance. These models are used to analyse the stock price data Lippo Bank and Bumi Putera.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4808535aabb2f9f19426bbc1cd9af4ec https://doi.org/10.1088/1757-899x/166/1/012008 Zobrazit plný text záznamu