Analisis Portofolio Optimal : Pendekatan Mean Variance  Pada Harga Komoditas Pangan  di Kota Padang

Investment is a number of commitments or a number of funds or resources made at this time with the aim of obtaining future profits. One method that can be used to form an optimal portfolio is to use the mean variace approach. Asset selection is carried out on food commodities namely rice, eggs, cooking oil, granulated sugar, and red chili. From the data processing it is found that the weight of each commodity is cooking oil (99.95%), eggs (0.03%), granulated sugar (0.04%), red chili is negative (-0.02%), and rice (0.00%). So that it can be estimated that the expected profit is -0.0024% and risk is 0.0001%.

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Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

Abstract and Applied Analysis ◽

10.1155/2014/363046 ◽

2014 ◽

Vol 2014 ◽

pp. 1-14

Author(s):

Hui-qiang Ma

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Stock Price ◽

Efficient Frontier ◽

Optimal Portfolio ◽

Portfolio Strategy ◽

Cev Process ◽

The Mean ◽

Mean Variance Portfolio ◽

Mean Variance

We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.

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The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory

Journal of Interdisciplinary Economics ◽

10.1177/0260107919848629 ◽

2019 ◽

Vol 32 (2) ◽

pp. 218-236

Author(s):

Amen Aissi Harzallah ◽

Mouna Boujelbene Abbes

Keyword(s):

Financial Crisis ◽

Risk Aversion ◽

Asset Allocation ◽

Global Financial Crisis ◽

Optimal Portfolio ◽

Optimal Portfolios ◽

The Mean ◽

Degree Of Risk ◽

The Impact ◽

Mean Variance

The aim of this article is to compare the portfolio optimization generated by the behavioral portfolio theory (BPT) and the mean variance theory (MVT) by investigating the impact of the global financial crisis on the asset allocation. We use data from the Canadian Stock Exchange over the 2002–2015 period. By comparing both approaches, we show that for any level of aspiration and admissible failure, the BPT optimal portfolio will always contain a part of the mean–variance frontier. Thus, in the case of higher degree of risk aversion induced by typical BPT investors, the security set is located on the upper right of the Markowitz frontier. However, even if the optimal portfolios of MVT and BPT may coincide, MVT investors associated with an extremely low degree of risk aversion will not systematically choose BPT optimal portfolios. Our results also indicate the period of financial crisis generate huge losses in MVT portfolio values that implies a lower expected return and a higher level of risk. Furthermore, we point out the absence of the BPT optimal portfolio when potential losses are higher during the 2008 global financial crisis. JEL: G11, G17, G40

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Analisis Portofolio Investasi dengan Metode Multi Objektif

Jurnal Varian ◽

10.30812/varian.v3i1.476 ◽

2019 ◽

Vol 3 (1) ◽

pp. 6-12

Author(s):

Gilang Primajati ◽

Ahmad Zuli Amrullah ◽

Ahmad Ahmad

Keyword(s):

Minimum Variance ◽

Optimal Portfolio ◽

Risk Level ◽

Risk Averse ◽

Expected Return ◽

Risky Assets ◽

Variant Method ◽

The Mean ◽

Mean Variance ◽

Constraint Method

In the formation of an efficient portfolio, many methods can be used. Of course with its own assumptions and advantages. In the process, reasonable investor assumptions tend to be risk averse. Investors who are risk averse are investors who, when faced with two investments with the same expected return, will choose an investment with a lower risk level. If an investor has several efficient portfolio choices, then the most optimal portfolio will be chosen. Optimal portfolio with mean-variance efficient portfolio criteria, investors only invest in risky assets. Investors do not include risk free assets in their portfolios. Mean-variance efficient portfolio is defined as a portfolio that has a minimum variance among all possible portfolio that can be formed, at the mean level of the same expected return. The mean variant method of the two constraints can be used as a basis in determining the optimal portfolio weight by minimizing the risk of portfolio return with two constraints. In this article the problem referred to is symbolized by lamda and beta. With this two-constraint method, the results obtained are more detailed so that they can describe the results of a sharper analysis for an investor.

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ANALISIS PORTOFOLIO INVESTASI PADA SAHAM LQ45 DENGAN METODE MEAN VARIAN SATU KONSTRAIN

Jurnal Varian ◽

10.30812/varian.v1i2.68 ◽

2018 ◽

Vol 1 (2) ◽

pp. 22-29

Author(s):

Gilang Primajati

Keyword(s):

Capital Markets ◽

Minimum Variance ◽

Return Rate ◽

Optimal Portfolio ◽

Portfolio Diversification ◽

Portfolio Risk ◽

Expected Return ◽

Positive Weight ◽

The Mean

In the capital markets, especially the investment market, the establishment of a portfolio is something that must be understood by investors. Portfolio formation by investors to maximize profits as much as possible by minimizing the risk of losses that may occur. Portfolio diversification is defined as portfolio formation in such a way that it can reduce portfolio risk without sacrificing returns. Optimal portfolio with efficient-portfolio mean criteria, investors only invest in risk assets only. Investors do not include risk free assets in their portfolios. The efficient variance portfolio is defined as a portfolio that has minimum variance among the overall possible portfolio that can be formed, at the same expected return rate. The mean method of one constraint variant can be used as the basis for optimal portfolio determination. The shares of LQ-45 used are shares of AALI, BBCA, UNVR, TLKM and ADHI. AALI shares received a positive weight of 7%, BBCA 48%, UNVR 16%, TLKM 26% and ADHI 3%

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