Optimal Portfolio Analysis of Listed Companies in IDX 30

Keysha Salsabila Saputra; Nora Amelda Rizal; Astire Krisnawati

Article Details

Optimal Portfolio Analysis of Listed Companies in IDX 30

Authors:

Keysha Salsabila Saputra | Nora Amelda Rizal | Astire Krisnawati

Publisher:

KnE Social Sciences

Journal:

KnE Social Sciences Vol.9 Issue 14, pp.787-798

Document Type:

Article

Publication Date:

3/2024

Document Language:

English

Document ID (Org No.):

2001513188

pISSN:

2518-668X

Keywords:

Abstract:

 Investors face the dual considerations of return and risk when making investment decisions. Therefore, proper analysis is crucial, especially during the COVID-19 crisis, to achieve maximum returns while minimizing risk. This research used three portfolio optimization models, the Mean-Variance Model, the Mean-Absolute Deviation Model and the Value-at-Risk Model, to construct a stock portfolio. The findings indicated that the Mean-Variance Model can yield an expected return of 16.55% and a portfolio risk of 258.66%. The result from the Mean-Absolute Deviation Model was that the target return is 16%, along with a portfolio risk of 282.43%.

Article Details

Optimal Portfolio Analysis of Listed Companies in IDX 30

Authors:

Keysha Salsabila Saputra | Nora Amelda Rizal | Astire Krisnawati

Publisher:

KnE Social Sciences

Journal:

KnE Social Sciences Vol.9 Issue 14, pp.787-798

Document Type:

Article

Publication Date:

3/2024

Document Language:

English

Document ID (Org No.):

2001513188

pISSN:

2518-668X

Portfolio Optimization

Mean-Variance

Mean Absolute Deviation

Value at Risk

R Language

IDX30

Issues

Article Details

Optimal Portfolio Analysis of Listed Companies in IDX 30

Authors: Keysha Salsabila Saputra | Nora Amelda Rizal | Astire Krisnawati

Publisher: KnE Social Sciences

Journal: KnE Social Sciences Vol.9 Issue 14, pp.787-798

Document Type: Article

Publication Date: 3/2024

Document Language: English

Document ID (Org No.): 2001513188

pISSN: 2518-668X

Portfolio Optimization

Mean-Variance

Mean Absolute Deviation

Value at Risk

R Language

IDX30

Issues

Authors:

Keysha Salsabila Saputra | Nora Amelda Rizal | Astire Krisnawati

Publisher:

KnE Social Sciences

Journal:

KnE Social Sciences Vol.9 Issue 14, pp.787-798

Document Type:

Article

Publication Date:

3/2024

Document Language:

English

Document ID (Org No.):

2001513188

pISSN:

2518-668X