Investment Portfolio Optimization Model with Mean-Std Deviation

Autor:	Nurhadini Putri, Mochamad Suyudi, Ibrahim Mohammed Sulaiman
Rok vydání:	2022
Předmět:	General Earth and Planetary Sciences General Environmental Science
Zdroj:	International Journal of Quantitative Research and Modeling. 3:173-180
ISSN:	2721-477X 2722-5046
DOI:	10.46336/ijqrm.v3i4.359
Popis:	Stock investment is an investment in securities with the hope of getting profits in the future. Investors are expected to make a series of portfolios to get optimal results from investments. This discussion aims to find the weight of the funds invested along with the returns and risks. The method used is the mean + std deviation. The results of this portfolio optimization show that the risk aversion coefficient is 0.1. The optimum weight for investment in each company is KLBF (22.67%), PGAS (8.796%), BBCA (41.77%), ASII (8, 24%), and SMAR (18.52%) with a maximum ratio of 8.8% of a return of 0.0881% and a risk of 1.0009%. The results of this portfolio optimization are expected to help investors by dividing the number of funds to be invested by the return and risk.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c68270a94d90cfa58c962f38e7f8a5e9 https://doi.org/10.46336/ijqrm.v3i4.359 Zobrazit plný text záznamu