Work

Portofolio Optimization Through MPT on any Economic Situation on Indonesian Stock Exchange (2010-2020)

Year: 2021

Type: conference-paper

Abstract: Modern portfolio theory told us that investors are tend to optimize the expected return of investment subject to a target of risk perception. In the real world, risks are depend on may factors, such as systematic risk (market risk and macroeconomics risk which can not be controlled to diversification) and non-systematic risk (specific company risk which can not be controlled through diversification). Applying Security Market Line Approach, constrained maximization and considering changes in economic situation between 2010-2020, we found that Modern Portfolio Theory can improve portfolio performance when limited impact is spotted on minimizing systematic risk of portfolio.

Source: Journal of Physics Conference Series

DOI: 10.1088/1742-6596/1742/1/012016

Authors: M Rosha, Arnellis

Institution: Universitas Negeri Padang

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W3123484489

FWCI: 1.832

Cites:

Cited by: 7

Related to: 10