A Cluster Representative Selection Method for Stock Portfolio Based on Efficient Frontier

It is observed that the number of Indonesia’s domestic investor who involved in the stock exchange is very less compare to its total number of population (only about 0.1%). As a result, Indonesia Stock Exchange (IDX) is highly affected by foreign investor that can threat the economy. Domestic investor tends to invest in risk-free asset such as deposit in the bank since they are not familiar yet with the stock market and anxious about the risk (risk-averse type of investor). Therefore, it is important to educate domestic investor to involve in the stock exchange. Investing in portfolio of stock is one of the best choices for risk-averse investor (such as Indonesia domestic investor) since it offers lower risk for a given level of return. This paper studies the optimization of Indonesian stock portfolio. The data is the historical return of 10 stocks of LQ 45 for 5 time series (January 2004 – December 2008). It will be focus on selecting stocks into a portfolio, setting 10 of stock portfolios using mean variance method combining with the linear programming (solver). Furthermore, based on Efficient Frontier concept and Sharpe measurement, there will be one stock portfolio picked as an optimum Portfolio (Namely Portfolio G). Then, Performance of portfolio G will be evaluated by using Sharpe, Treynor and Jensen Measurement to show whether the return of Portfolio G exceeds the market return. This paper also illustrates how the stock composition of the Optimum Portfolio (G) succeeds to predict the portfolio return in the future (5th January – 3rd April 2009). The result of the study observed that optimization portfolio using Mean-Variance (consistent with Markowitz theory) combine with linear programming can be applied into Indonesia stock’s portfolio. All the measurements (Sharpe, Jensen, and Treynor) show that the portfolio G is a superior portfolio. It is also been found that the composition (weights) stocks of optimum portfolio (G) can be used to predict the forward return (5th January – 3rd April 2009). It is shown that the stock portfolio return of 5th January – 3rd April 2009) has exceeded the market return for the same period of time based on Sharpe and Treynor measurement.

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Comparative Analysis of Mean Variance Efficient Frontier and Resampled Efficient Frontier For Optimal Stock Portfolio Formation

IOP Conference Series Materials Science and Engineering ◽

10.1088/1757-899x/846/1/012065 ◽

2020 ◽

Vol 846 ◽

pp. 012065

Author(s):

Emy Siswanah

Keyword(s):

Comparative Analysis ◽

Efficient Frontier ◽

Stock Portfolio ◽

Mean Variance

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Interactive multiobjective DEA target setting using lexicographic DDF

RAIRO - Operations Research ◽

10.1051/ro/2019105 ◽

2020 ◽

Vol 54 (6) ◽

pp. 1703-1722 ◽

Cited By ~ 1

Author(s):

Narges Soltani ◽

Sebastián Lozano

Keyword(s):

Efficient Frontier ◽

Directional Distance Function ◽

Fixed Number ◽

Optimization Approach ◽

Target Setting ◽

Interactive Process ◽

Decision Making Unit ◽

Setting Approach ◽

Promising Area ◽

Current Region

In this paper, a new interactive multiobjective target setting approach based on lexicographic directional distance function (DDF) method is proposed. Lexicographic DDF computes efficient targets along a specified directional vector. The interactive multiobjective optimization approach consists in several iteration cycles in each of which the Decision Making Unit (DMU) is presented a fixed number of efficient targets computed corresponding to different directional vectors. If the DMU finds one of them promising, the directional vectors tried in the next iteration are generated close to the promising one, thus focusing the exploration of the efficient frontier on the promising area. In any iteration the DMU may choose to finish the exploration of the current region and restart the process to probe a new region. The interactive process ends when the DMU finds its most preferred solution (MPS).

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НАРАТИВ ЯК КОНТЕНТНА ОСНОВА МІЖНАРОДНИХ СТРАТЕГІЧНИХ КОМУНІКАЦІЙ

State and Regions. Series: Social Communications ◽

10.32840/cpu2219-8741/2020.1(41).1 ◽

2020 ◽

pp. 4

Author(s):

N. Zykun ◽

A. Bessarab ◽

L. Ponomarenko

Keyword(s):

Selection Method ◽

Historical Narrative ◽

Neutral Position ◽

Main Task ◽

Grand Narrative ◽

National Narrative ◽

Strategic Communications ◽

Analysis And Synthesis ◽

The Media ◽

International Interaction

The article, basing on the analysis of selected media texts with reference to narrative from the leading Ukrainian newspapers «Dzerkalo Tyzhnia» (Weekly Mirror), «Den» (Day), «Ukraina Moloda» (Young Ukraine) for 2016–2020, the semantic and content characteristics of the «narrative», «strategic narrative», «small narratives» nominations has established; the directions of the semantic realization of the meaning of the narrative and its possibilities in the process of international strategic communications aimed at both external and internal audience, are outlined. It is proved that the main task of a strategic, or national, narrative is a reasoned explanation to the state population and interested audiences of specific realities, intentions, plans; justification of certain directions of state activity aimed at partners, at opponents and those occupying a neutral position.There are divided the spheres of use of different narratological nominations: in international communications and in scientific discourse, the conceptual foundations of state identity and international interaction are referred to as strategic narrative or grand narrative, in publicistic discourse the narrative nomination is used, more rarely – historical narrative, national narrative.The scientific novelty of the research is that the focus is on the media aspect of the use of one of the key concepts of strategic communications and the role of the media in its implementation.The main general scientific methods used in this article are descriptive and comparative ones, as well as analysis and synthesis. The following empirical methods were also used: solid selection method (solid selection method for allocation texts with the «narrative» lexeme; quantitative method of content analysis with elements of qualitative one – for characterizing the semantic of the «narrative» term).The results of the study can be used in the complex research of the technology of international strategic communications and in the practical activity of specialists in international strategic communications, a new trend in Ukraine, which is currently under active institutionalization.Key words: international strategic communications, propaganda, narrative, strategic narrative, grand narrative, «small narratives».

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