PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION
| Main Authors: | SUYASA, NI KADEK NITA SILVANA, DHARMAWAN, KOMANG, SARI, KARTIKA |
|---|---|
| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
, 2021
|
| Online Access: |
https://ojs.unud.ac.id/index.php/mtk/article/view/73243 https://ojs.unud.ac.id/index.php/mtk/article/view/73243/39587 |
Daftar Isi:
- Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.