Judul/Title Optimasi Portofolio Dengan Modified Risk Measure Mempertimbangkan Batasan Kardinalitas Dan Bobot Saham
Penulis/Author ANDITA NIRMALA (1) ; Ir. Agus Darmawan, S.T., M.S., Ph.D., IPM., ASEAN Eng. (2); Ir. Muhammad Kusumawan Herliansyah, S.T., M.T.,Ph.D., IPU., ASEAN Eng. (3)
Tanggal/Date 2020
Kata Kunci/Keyword
Abstrak/Abstract Modified risk measure model is a portfolio optimization model using return scenario based on the forecasting error. This model is a basic model that has not taken the real investment conditions made by investors, such as cardinality and threshold constraints. Therefore, it is necessary to develop amodified risk measure model to be more representative to investment situation and compare the performance between the basic model and the proposed model in optimization. Portfolio optimization will be applied to LQ45 stock list from April-November2019. Optimization begins by forming 100 scenarios based on error prediction results for each stockwith Moving Average methods. Portfolios will be formed at several levels of risk (15%,20%,25%,and 30%)to see the impact of limitations on risk and model performance based on the expected return. Optimization using new model tends to reduce the model's performance, but this modelreflects the real situation faced by investors.
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