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Title : PORTFOLIO ANALYSIS OF REF METHOD BASED ON MEAN VARIANCE OPTIMIZATION OF MULTI-OBJECTIVE MODEL
Author :

Dr. Abdurakhman (1)

Date : 1 2017
Keyword : portfolio optimization, mean-variance, resampling, efficient frontier, multi-objective. portfolio optimization, mean-variance, resampling, efficient frontier, multi-objective.
Abstract : The investors have a goal of getting return when they invest their wealth, but on the other hand they should bear the risk that might arise from their investment. There are three categories of investors based on their preferences toward risk, which are risk averter, moderate risk, and risk taker. To establish a portfolio that is able to incorporate investor preferences, resampled efficient frontier (REF) method is used, where the portfolio is established from some stocks through some filtering process first. REF method is a development of the mean variance efficient portfolios method, which uses Monte Carlo simulation to obtain more estimated parameter inputs. There are some models of mean variance efficient portfolios, one of them is multi-objective portfolio model. From computation and data analysis, risk averse coefficient k = 5 .0 frequently gives negative weight of portfolio, so we have to use short-sell strategy and also empirically that at , k = 100 the portfolio weight at start is already stable.
Group of Knowledge : Statistik
Original Language : English
Level : Internasional
Status :
Published
Document
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1 Paper Far East 2017.pdf
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2 Korespondensi FJMS.pdf
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3 PORTFOLIO ANALYSIS OF REF METHOD BASED ON MEAN VARIANCE OPTIMIZATION OF MULTI-OBJECTIVE MODEL.pdf
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4 jurnal_2037873_c846c403ea3f2accad5782ba83465178.pdf
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5 Bukti Korespondensi Jurnal Far East 2017.pdf
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