scholarly journals Markowitz Model Investment Portfolio Optimization: a Review Theory

2020 ◽  
Vol 1 (3) ◽  
pp. 14-18
Author(s):  
Nurfadhlina Abdul Hali ◽  
Ari Yuliati
Keyword(s):  
Risk Tolerance ◽  
Investment Risk ◽  
Investment Portfolio ◽  
Markowitz Model ◽  
Fund Allocation ◽  
Tolerance Optimization ◽  
The Face ◽  
Investment Portfolios ◽  
Investment Portfolio Optimization

In the face of investment risk, investors generally diversify and form an investment portfolio consisting of several assets. The problem is the fiery proportion of funds that must be allocated to each asset in the formation of investment portfolios. This paper aims to study the optimization of the Markowitz investment portfolio. In this study, the Markowitz model discussed is that which considers risk tolerance. Optimization is done by using the Lagrangean Multiplier method. From the study, an equation is obtained to determine the proportion (weight) of fund allocation for each asset in the formation of investment portfolios. So by using these equations, the determination of investment portfolio weights can be determined by capital.

scholarly journals A Personalized Mean-CVaR Portfolio Optimization Model for Individual Investment

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Chunxia Yu ◽  
Yuru Liu
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Evaluation Method ◽  
Garch Model ◽  
Fuzzy Comprehensive Evaluation ◽  
Risk Tolerance ◽  
Financial Assets ◽  
Investment Portfolio ◽  
Portfolio Optimization Model ◽  
Investment Portfolio Optimization

Investment as an important issue in daily life is accompanied by the occurrence of various financial assets, such as stocks, bonds, and mutual funds. However, risk tolerances vary across individuals. Individual investors have to select corresponding personalized investment portfolios to satisfy their own needs. Moreover, it is difficult for ordinary people to select a personalized investment portfolio by themselves, and it is too expensive and inefficient to look for professional consultation. Therefore, the objective of this research is to propose a personalized portfolio recommendation model, which can build the personalized portfolio based on investors’ risk tolerances. In this research, investors’ risk tolerance is determined by the fuzzy comprehensive evaluation method based on investors’ demographic characteristics. The CVaR is used as the risk measurement of financial assets. The dynamics of the distribution of returns are described in the combined Copula-GARCH model, and the future scenarios of returns are generated by the Monte Carlo simulation based on the combined Copula-GARCH model to estimate CVaR. The mean-CVaR portfolio optimization model is used to find out the best personalized portfolio. Finally, experiments are conducted to validate the applicability and feasibility of the personalized investment portfolio optimization model. Results show that the proposed investment portfolio optimization model can recommend personalized investment portfolio according to investor’s risk tolerance.

scholarly journals OPTIMASI PORTOFOLIO PADA SAHAM PEFINDO 25 DENGAN MENGGUNAKAN MODEL MARKOWITZ (STUDI KASUS DI BURSA EFEK INDONESIA)

2021 ◽  
Vol 3 (1) ◽  
pp. 32-41
Author(s):  
Made Pratiwi Dewi
Keyword(s):  
Capital Market ◽  
Optimal Investment ◽  
Optimal Portfolio ◽  
Investment Risk ◽  
Investment Portfolio ◽  
Expected Return ◽  
Probability Sampling ◽  
Markowitz Model ◽  
Fund Investment ◽  
The Capital Market

  Fund investment activities in the capital market required expertise to minimize the investment risk. One way was to form a portfolio. Markowitz model helped investors determined the stocks which was the member of the optimal portfolio. Minimization of risk and maximization of return became the urgent thing, and the value of the return expectation became the basis of calculation. This research used non probability sampling to select Pefindo 25 indeks stocks at BEI as a population and sample. Results showed from 25 sample that only 6 (six) stocks were included in the optimal portfolio, which was Adi Sara Armada Tbk (ASSA), Wilmar Cahaya Indonesia Tbk (CEKA), Elnusa Tbk (ELSA), Erajaya Swasembada Tbk (ERAA), Champion Pacific Indonesia Tbk (IGAR), dan Vale Indonesia Tbk (INCO). The optimal investment portfolio provided total expected return portfolio was 15.592 percent and a risk of deviation / variance portfolio was 0.108 percent.

Theories of Investment Portfolio Optimization

2016 ◽  
Vol 5 (4) ◽  
pp. 51-57
Author(s):  
Назарова ◽  
Elena Nazarova ◽  
Жданова ◽  
O. Zhdanova
Keyword(s):  
Portfolio Optimization ◽  
Investment Portfolio ◽  
Diversification Strategies ◽  
Investment Portfolios ◽  
Investment Portfolio Optimization

The article presents an analysis of the theories of the investment portfolio optimization, characterizes diversification strategies, gives the evaluation of the Russian theory of optimization of investment portfolios.

scholarly journals Determination of the Vertical Dimension and the Position of the Occlusal Plane in a Removable Prosthesis Using Cephalometric Analysis and Golden Proportion

2021 ◽  
Vol 11 (15) ◽  
pp. 6948
Author(s):  
Gabriele Cervino ◽  
Sergio Sambataro ◽  
Chiara Stumpo ◽  
Salvatore Bocchieri ◽  
Fausto Murabito ◽  
...  
Keyword(s):  
Vertical Dimension ◽  
Occlusal Plane ◽  
X Rays ◽  
Common Procedure ◽  
Lower Incisor ◽  
Golden Proportion ◽  
The Face ◽  
Removable Prosthesis ◽  
Edentulous Patients

The aim of this study is to demonstrate the use and the effectiveness of cephalometry and golden proportions analysis of the face in planning prosthetic treatments in totally edentulous patients. In order to apply this method, latero-lateral and posterior-anterior X-rays must be performed in addition to the common procedure. Two main concerns for totally edentulous patients are the establishment of the vertical dimension and the new position of the occlusal plane. The divine proportion analysis was carried out by the use of a golden divider. The prosthetic protocol was divided into three steps and a case was selected for better understanding. Referring to the golden relations, if the distance from the chin to the wing of the nose is 1.0, the distance from the nose to eye is 0.618. This proportion is useful and effective in determining the correct prosthetic vertical dimension. The incisal margin of the lower incisor must be positioned between Point A (A) and protuberance menti (Pm) according to the gold ratio 0.618 of the total height A-Pm. Posteriorly the occlusal plane must be placed 2 mm below the divine occlusal plane (traced from the incisal margin of lower incisors to Xi point). A prosthesis made in accordance with cephalometric parameters and divine proportions of the face helps to improve the patient’s aesthetics, function and social personality.

scholarly journals Kemampuan Lulusan Sekolah Tinggi Pariwisata Ampta Dalam Menghadapi Persaingan Di Dunia Kerja

Media Wisata ◽  
2021 ◽  
Vol 16 (1) ◽  
Author(s):  
Sri Larasati
Keyword(s):  
Communication Skill ◽  
Total Population ◽  
Sampling Technique ◽  
Regression Equations ◽  
Test Results ◽  
A Value ◽  
The Face ◽  
Job Competition ◽  
Sampling Approach

The purpose of this research is to know wtether knowledge, skill, responsiveness and communication skill influence in job competition for graduate student from Sekolah Tinggi Pariwisata AMPTA. The population in this study are student pf Sekolah Tinggi Pariwisata SMPTA that graduated in 2013 until 2016, the total population in this studt is 702 and 200 respondents who have worked taken as samples, samples were taken with non probability sampling technique and accidental sampling approach. Sampling approach using regression equations obtained results that through test results F (regression analysis jointly) may note that the value of F = 147.104 count with the significance of 0.000 < 0.05. The test results of the test F reinforced with testing the determination of the coefficient that shows the value of 74.6%) (0.746. From Test t (partially) can result in variable knowledge with a value of t = 3,173 and significance of the value 0002 < 0.05, variable skill with a value of t = 2,949 and value the significance of 0.004 < 0.05, variable attitude with a value of t = 2,688 and value the significance of 0.008 < 0.05, variable communication skill with a value of t = value and significance of 4,497 0000 < 0.05. From the above results can be known that the hypothesis posed was not proven in other words that all of these variables can be said to have a positive and significant effect simultaneously as well as partial toward the ability of STP graduates AMPTA in the face of competition in the world of work

scholarly journals Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets

2010 ◽  
Vol 9 (1) ◽  
pp. 34-51
Author(s):  
Grzegorz Mentel
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Risk Measures ◽  
Market Risk ◽  
Investment Risk ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Financial Portfolio

Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

scholarly journals Robust Hybrid Optimization Method to Reduce Investment Portfolio Risk using Fusion of Modern Portfolio Theory and Genetic Algorithm

2019 ◽  
Vol 8 (6S3) ◽  
pp. 136-148
Keyword(s):  
Genetic Algorithm ◽  
Optimization Method ◽  
Portfolio Theory ◽  
Hybrid Optimization ◽  
Investment Risk ◽  
Portfolio Risk ◽  
Algorithm Optimization ◽  
Investment Portfolio ◽  
Genetic Algorithm Optimization ◽  
Modern Portfolio Theory

Main objective of this study is to develop hybrid optimization method for reducing investment portfolio risk. The methods selected in this study are the combination of Modern Portfolio Theory (MPT) and genetic algorithm optimization approach. Three stocks from Malaysian Stock Exchange are selected in developing the investment portfolio namely Malayan Banking Berhad, Hap Seng Consolidated Berhad and Top Glove Corporation Berhad. Result indicates the modern portfolio theory can give optimal portfolio weightage with maximum return for tolerate level of investment risk. In addition, genetic algorithm enhanced the optimal searching method to find global minimum of investment risk. Result shows the minimum portfolio risk in objective function is 2.122118 with implementation genetic algorithm optimization. The optimal combination of portfolio investment is 32.24 % in asset A (Malayan Banking Berhad), 52.37 % in asset B (Hap Seng Consolidated Berhad), and 15.30 % in asset C (Top Gove Corporation Berhad). The important of this study is it will assist investor in making better decision to optimize their return for given level of investment risk. Furthermore, this hybrid method provides a better accuracy of prediction for return of investment and portfolio risk.

scholarly journals Persistence as an optimal hedging strategy

2019 ◽  
Author(s):  
Alexander P Browning ◽  
Jesse A Sharp ◽  
Tarunendu Mapder ◽  
Christopher M Baker ◽  
Kevin Burrage ◽  
...  
Keyword(s):  
Financial Risk ◽  
Theoretical Foundation ◽  
Investment Portfolio ◽  
Hedging Strategy ◽  
Cellular Decision Making ◽  
Biological Population ◽  
Financial Hedging ◽  
The Face ◽  
Slow Growing

AbstractBacteria invest in a slow-growing subpopulation, called persisters, to ensure survival in the face of uncertainty. This hedging strategy is remarkably similar to financial hedging, where diversifying an investment portfolio protects against economic uncertainty. We provide a new theoretical foundation for understanding cellular hedging by unifying the study of biological population dynamics and the mathematics of financial risk management through optimal control theory. Motivated by the widely accepted role of volatility in the emergence of persistence, we consider several novel models of environmental volatility described by continuous-time stochastic processes. This allows us to study an emergent cellular hedging strategy that maximizes the expected per-capita growth rate of the population. Analytical and simulation results probe the optimal persister strategy, revealing results that are consistent with experimental observations and suggest at new opportunities for experimental investigation and design. Overall, we provide a new way of conceptualising and modelling cellular decision-making in volatile environments by explicitly unifying theory from mathematical biology and finance.

scholarly journals Kelly's Strategy Analysis in Optimizing Investment Portfolios in Foreign Exchange

2019 ◽  
Vol 8 (2S7) ◽  
pp. 245-250
Keyword(s):  
Financial Markets ◽  
Foreign Exchange ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Investment Portfolio ◽  
Strategy Analysis ◽  
Average Value ◽  
Portfolio Returns ◽  
Strategy Model ◽  
Investment Portfolios

Investments in financial markets not only pay attention to promising profits, but also need to consider the risks that follow. Risks can be minimized by establishing an investment portfolio. This research was conducted with the aim of analyzing optimal portfolios on foreign exchange investments, so that investments made provide maximum returns at certain risks, or minimal risk on certain returns. The data analyzed in this study are foreign exchange traded at Bank Indonesia. Data analysis is carried out quantitatively using the Kelly Strategy model. The steps: (i) Calculation of individual foreign exchange returns, (ii) Determine the average value of individual foreign exchange returns, (iii) Determine the optimal portfolio using the Kelly strategy approach, and (iv) Determine portfolio returns and risks. Based on the results of the analysis obtained the allocation of weights that provide returns and risks to the optimal portfolio. A 95% USD currency is an optimal portfolio of the five currencies used. So that it can be used as a consideration for investors, in making investment decisions in the foreign exchange being analyzed.

scholarly journals INVESTIGATION OF THE GEOMECHANICAL STATE OF SOFT ADJOINING ROCKS UNDER PROTECTIVE CONSTRUCTIONS

2021 ◽  
Vol 36 (4) ◽  
pp. 61-71
Author(s):  
Serhii Nehrii ◽  
Tetiana Nehrii ◽  
Oksana Zolotarova ◽  
Serhii Volkov
Keyword(s):  
Physical And Mechanical Properties ◽  
New Approach ◽  
Soft Rocks ◽  
The Face ◽  
Geomechanical State ◽  
Rock Mass Failure ◽  
The Stability ◽  
Seam Mining ◽  
Mine Roadways

The conditions of coal seam mining in the mines of Ukraine have been considered. The problem of conducting coal mining by longwalls in the conditions of soft adjoining rocks, which concerns the protection of mine roadways located near the face, has been revealed. In such conditions, the existing protective constructions are ineffective due to the fact that they yield and get pressed into the soft rocks of the footwall. This indicated the need for research into the geomechanical state of soft rocks of the footwall. According to the results of known studies on the mechanism of rock mass failure around roadways and the data of physical and mechanical properties of the coal mass, which is represented by soft rocks, the correlation dependence has been obtained, the use of which allowed for the determination of the parameters of the rock deformation diagram and the establishment of the stability criterion of footwall rocks under the protection means and stability conditions of the geotechnical system “protective construction – adjoining rocks.” They are the basis of a new approach to ensure the stability of the roadways, which are supported behind the faces, by controlling the stress state in the system “protective construction – adjoining rocks.” This may be the basis for the development of new methods of protecting roadways in conditions of soft adjoining rocks.

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