ACADSTAFF UGM
| Title | : | Pengoptimuman Portofolio dengan Kendala Karakteristik Perusahaan Emiten |
| Author | : |
EZRA PUTRANDA S (1) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (2) |
| Date | : | 1 2018 |
| Keyword | : | Optimal portfolio, mean-variance model, Markowitz, genetic algorithm Optimal portfolio, mean-variance model, Markowitz, genetic algorithm |
| Abstract | : | Asset diversification is often implemented by the investor to reduce the investment risk. Generally, diversification is carried out as specified by the result of a mathematical calculation based on each asset’s historical return data, for example in the mean-variance model. In this study, we modify the mean-variance model by adding issuer company-related bound, i.e. the field of work, the owner of the company, or combination of both. The solution of this portfolio optimization problem could be obtained by the genetic algorithm. A case study by making portfolio that consist of several stocks in the Indonesia Stock Exchange are provided. |
| Group of Knowledge | : | Statistik |
| Original Language | : | Bahasa Indonesia |
| Level | : | Nasional |
| Status | : |
Published
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