Mean-Variance Investment Without Risk-Free Assets in PT Company Shares PT Ace Hardware (Aces.Jk), PT Mayora Indah (Myor.Jk), PT Bri (Bbri.Jk), PT Siloam Hospital (Silo.Jk), PT Eterindo Wahanatama (Etwa.Jk)

https://doi.org/10.47194/orics.v4i3.251

Authors

  • Amalia Raharjanti 1Mathematics Undergraduate Study Program, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jatinangor, Indonesia

Keywords:

Investment, risk-free assets, portfolio, basic Markowitz

Abstract

Portfolio is a form of strategy that investors often apply in risky investment conditions. The essence of portfolio construction is to allocate funds to various investment options to minimize investment risk. Therefore, the aim of this discussion is to construct an investment portfolio of several shares using an average variable portfolio optimization model without risk-free assets. To obtain an optimal portfolio, a mean-variance investment optimization model without risk-free assets or what is called the Basic Markowitz model is used. This involves investors measuring the risk of an asset using its “variance” and then comparing it to the asset's average. It is hoped that this discussion can help investors to obtain an optimal portfolio, especially from the five selected shares. 

References

Basuki, S. E. (2016). MODEL OPTIMISASI PORTOFOLIO INVESTASI MEAN VARIANCE TANPA DAN DENGAN ASET BEBAS RISIKO PADA. Jl. Raya Bandung Sumedang KM 21 Jatinangor Sumedang 45363.

Published

2023-09-06

How to Cite

Raharjanti, A. (2023). Mean-Variance Investment Without Risk-Free Assets in PT Company Shares PT Ace Hardware (Aces.Jk), PT Mayora Indah (Myor.Jk), PT Bri (Bbri.Jk), PT Siloam Hospital (Silo.Jk), PT Eterindo Wahanatama (Etwa.Jk). Operations Research: International Conference Series, 4(3), 105–108. https://doi.org/10.47194/orics.v4i3.251