MENENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL CONDITIONAL MEAN VARIANCE

  • I GEDE ERY NISCAHYANA Faculty of Mathematics and Natural Sciences, Udayana University
  • KOMANG DHARMAWAN Faculty of Mathematics and Natural Sciences, Udayana University
  • I NYOMAN WIDANA Faculty of Mathematics and Natural Sciences, Udayana University

Abstract

When the returns of stock prices show the existence of autocorrelation and heteroscedasticity, then conditional mean variance models are suitable method to model the behavior of the stocks. In this thesis, the implementation of the conditional mean variance model to the autocorrelated and heteroscedastic return was discussed. The aim of this thesis was to assess the effect of the autocorrelated and heteroscedastic returns to the optimal solution of a portfolio. The margin of four stocks, Fortune Mate Indonesia Tbk (FMII.JK), Bank Permata Tbk (BNLI.JK), Suryamas Dutamakmur Tbk (SMDM.JK) dan Semen Gresik Indonesia Tbk (SMGR.JK) were estimated by GARCH(1,1) model with standard innovations following the standard normal distribution and the t-distribution.  The estimations were used to construct a portfolio. The portfolio optimal was found when the standard innovation used was t-distribution with the standard deviation of 1.4532 and the mean of 0.8023 consisting of 0.9429 (94%) of FMII stock, 0.0473 (5%) of  BNLI stock, 0% of SMDM stock, 1% of  SMGR stock.

Author Biographies

I GEDE ERY NISCAHYANA, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
KOMANG DHARMAWAN, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
I NYOMAN WIDANA, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
Published
2016-08-30
How to Cite
NISCAHYANA, I GEDE ERY; DHARMAWAN, KOMANG; WIDANA, I NYOMAN. MENENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL CONDITIONAL MEAN VARIANCE. E-Jurnal Matematika, [S.l.], v. 5, n. 3, p. 82-89, aug. 2016. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/23377>. Date accessed: 11 nov. 2019. doi: https://doi.org/10.24843/MTK.2016.v05.i03.p125.
Section
Articles

Keywords

Portfolio; Optimal portfolio; Conditional Mean Variance Models