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Title : Asset allocation in Indonesian stocks Using Portfolio Robust
Author :

Dr. Abdurakhman (1)

Date : 6 2022
Keyword : Portfolio,Robust,Mean Variance,Skewness Portfolio,Robust,Mean Variance,Skewness
Abstract : The mean-variance portfolio weight optimization model has several limitations, including not being able to accommodate changes in parameter values, and providing unstable portfolio weight results on stock return data that have extreme values because the data are not symmetrically distributed. To overcome these limitations, in this paper, we use a robust mean-variance-skewness portfolio model by paying attention to the value of the skewness coefficient in its optimization. This model can be used to determine the allocation of portfolio weights in situations and conditions where the data returns are not symmetrical and contain extreme values. Furthermore, an empirical study of the robust mean-variance and robust mean-variance-skewness portfolio has been carried out for investment in data on four banking stocks in Indonesia, namely shares of bank Agris, bank BTPN, bank BNI, and bank BCA. The data used in this study is daily data on the closing prices of the four bank shares for the period January 2, 2020 – January 2, 2022 (489 days) obtained from Yahoo Finance. From the results of data analysis and discussion based on the formula obtained, it can be concluded that the variance is still very decisive in the weight formula for the allocation of an investment portfolio.
Group of Knowledge : Statistik
Original Language : English
Level : Internasional
Status :
Published
Document
No Title Document Type Action
1 MS17-13428699 Paper Math and Stat 2022 Abdurakhman.pdf
Document Type : Dokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian)
Dokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian) View
2 Asset Allocation in Indonesian Stocks Using Portfolio Robust Turnitin Desemb 2022.pdf
Document Type : [PAK] Cek Similarity
[PAK] Cek Similarity View
3 Asset ____.pdf
Document Type : [PAK] Full Dokumen
[PAK] Full Dokumen View
4 BUKTI KORESPONDENSI 20 June MathStat.pdf
Document Type : [PAK] Bukti Korespondensi Penulis
[PAK] Bukti Korespondensi Penulis View