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OPTIMAL PORTFOLIO RISK AND RETURN ANALYSIS OF BISNIS27 INDEX MEMBERS IN 2009 - 2010 USING MARKOWITZ EFFICIENT THEORY

Oleh   RADHIYAN (NIM 19007087); Pembimbing: Dr. Ir. Budhi Arta Surya, MSc.
Kontributor / Dosen Pembimbing : Pembimbing: Dr. Ir. Budhi Arta Surya, MSc.
Jenis Koleksi : S1-Tugas Akhir
Penerbit : Sekolah Bisnis dan Manajemen
Fakultas : Sekolah Bisnis dan Manajemen (SBM)
Subjek :
Kata Kunci : stock, portfolio risk and return, Markowitz Efficient Theory, efficient frontier, portfolio performance measurement
Sumber :
Staf Input/Edit : Vika Anastasya Kovariansi  
File : 7 file
Tanggal Input : 2012-07-23 11:41:55

Objectives of this study is to identify how are the risk and return of the optimal portfolio, what are the stocks that constructed it, and how is the performance of the optimal portfolio regarding its risk-adjusted return compared to the market. The first step will be constructing several efficient portfolios to draw the efficient frontier curve. The computation is done using Microsoft Office Excel and Matlab. Then, the efficient portfolios are plotted in a risk-return space to form an efficient frontier. The efficient frontier is useful to determine an optimal portfolio for an investor. This optimal portfolio will differ from one investor to another due to the risk-free rate and risk aversion level. The risk-free rate is calculated by using simple average method to the BI rate at a certain 3 months time (a quarter), while the risk aversion level is set to represents a moderate risk averse investor