ACADSTAFF UGM
| Title | : | Median-Variance Method with COMedians for Portfolio Optimization |
| Author | : |
Yunita Wulan Sari, S.Si., M.Sc. (1) |
| Date | : | 0 2020 |
| Keyword | : | portfolio optimization,mean-variance,median-variance,COMedians portfolio optimization,mean-variance,median-variance,COMedians |
| Abstract | : | Portfolio, a collection of several stocks, is one way to minimize the investment risk. For this purpose, Markowitz has introduced the Mean-Variance method to obtain an optimal portfolio. The normality assumption is absolutely necessary in this method. In addition, if a portfolio is set up for many stocks with a limited amount of data, for example stocks that have just been offered to the general public on an Initial Public Offering (IPO), the assumption will be difficult to fulfill. The Median-Variance method is an alternative to the Mean-Variance method to overcome that problem. In this study, we will compare the Mean-Variance method and the Median-Variance method with COMedians as a returns covariance measure to create an optimal portfolio of several stocks in Indonesia. |
| Group of Knowledge | : | Statistik |
| Original Language | : | Bahasa Indonesia |
| Level | : | Nasional |
| Status | : |
Published
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