Optimal Portfolio Analysis of Listed Companies in IDX 30
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%.
Keywords: Portfolio Optimization, Mean-Variance, Mean Absolute Deviation, Value at Risk, R Language, IDX30
References
[1] Lubis T. Manajemen Investasi dan Perilaku Konsumen. Salim Media Indonesia; 2016.
[2] Tandelilin E. Portofolio dan Investasi: Teori dan Aplikasi. Kanisius; 2010.
[3] Markowitz H. Portfolio Selection. J Finance. 1952;7:77–91.
[4] Konno H, Yamazaki H. Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. Manage Sci. 1991;37(5):519–31.
[5] Wang J. Mean-Variance-Var Based Portfolio Optimization. Valdosta; 2000.
[6] At P. Nurmasari I, Susanti F. Pengantar Ilmu Ekonomi. Unpam Press; 2019.
[7] Hidayat H, Saepudin D, Palupi I. E-Proceeding of Engineering. 2015;2:8042–56.
[8] Hartono J. Teori Portofolio dan Analisis Investasi. 11th ed. Bpff; 2017.
[9] Rizal, Nora Amelda, Wiryono, Et Al. Dynamic Portfolio Under Defaulty Assets.
[10] Kulali I. Portfolio Optimization Analysis With Markowitz Quadratic Mean-Variance Model. Eur J Bus Manag. 2016;8:73–9.
[11] Stambaugh F. Risk And Value-At-Risk. Eur Manage J. 1996;14(6):612–21.