PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION

(Studi Kasus: Indeks Harga Saham LQ45 Periode Februari 2017-Juli 2019)

  • NI KADEK NITA SILVANA SUYASA Universitas Udayana
  • KOMANG DHARMAWAN Universitas Udayana
  • KARTIKA SARI Universitas Udayana

Abstract

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.

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Author Biographies

NI KADEK NITA SILVANA SUYASA, Universitas Udayana

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

KOMANG DHARMAWAN, Universitas Udayana

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

KARTIKA SARI, Universitas Udayana

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

Published
2021-05-24
How to Cite
SUYASA, NI KADEK NITA SILVANA; DHARMAWAN, KOMANG; SARI, KARTIKA. PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION. E-Jurnal Matematika, [S.l.], v. 10, n. 2, p. 65-69, may 2021. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/73243>. Date accessed: 29 mar. 2024. doi: https://doi.org/10.24843/MTK.2021.v10.i02.p322.
Section
Articles

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