PERBANDINGAN KINERJA PORTOFOLIO GLOBAL MINIMUM VARIANSI BERDASARKAN EKSISTENSI KENDALA BOBOT ASET POSITIF

Authors

  • Nurwahidah Nurwahidah Universitas Islam Negeri Alauddin Makassar, Indonesia

DOI:

https://doi.org/10.31100/histogram.v7i1.2554

Keywords:

stock, portfolio, Markowitz

Abstract

Investors face high risk in stock investing. It is important to use investment strategies that can minimize risk and maximize return. Building a portfolio is a solution to minimize risk in investing. This sudy compares the perfomance of Global Minimum Variance Portfolio (GMV) without positive weight asset constraint and GMV with positive weight asset constraint. The perfomance of each portfolio is measured by sharpe ratio. The portfolio without positive weight asset builds by Markowitz method with traditional approachment, while the portfolio with positive weight asset builds by Markowitz method with quadratic programming approachment.Based on the conducted research, it describes that GMV potfolio with positive asset weight constrain shows a higher value of sharpe index than GMV portfolio without positive asset weight constraint. Thus, the study concludes that the GMV portfolio with positive asset weight constraint has better performance than the GMV portfolio wtihout positive asset weight constraint.

References

A. S., O., & P. O., A. (2016). Quadratic Programming as An Optimization Tool for Portfolio Management. International Journal of Mathematics and Computer Application Research, 6(2), 16–32.

Ahuja, A. (2015). Portfolio Diverisification In The Karachi Stock Exchange. Pakistan Journal of Engineering, Technology & Science, 1(1).

Bodnar, T., Mazur, S., & Okhrin, Y. (2017). Bayesian estimation of the global minimum variance portfolio. European Journal of Operational Research, 256(1), 292–307.

Febriyanto, F. (2018). Keputusan Diversifikasi Portofolio Investasi Di Era MEA. FIDUSIA : Jurnal Keuangan dan Perbankan, 1(2).

Filrissa, S. G., Titaley, J., & Manurung, T. (2019). Analisis Portofolio Saham Model Markowiz dengan Menggunakan Quadraic Programming. d’Cartesian: Jurnal Matematika dan Aplikasinya, 8(2), 121–126.

John, A., Logubayom, A. I., & J, A.-P. (2017). Portfolio Optimization Using Matrix Approach: A Case of Some Stocks on the Ghana Stock Exchange. International Journal of Accounting, Finance and Risk Management, 2(1), 21–30.

Kiandi, F. (2016). Perlindungan Humum dalam Transaksi Margin Trading dan Short Sales di Pasar Modal. Premise Law Jurnal, 6, 1–18.

Maillet, B., Tokpavi, S., & Vaucher, B. (2015). Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. European Journal of Operational Research, 244(1), 289–299.

Yang, L., Couillet, R., & McKay, M. R. (2015). A Robust Statistics Approach to Minimum Variance Portfolio Optimization. IEEE Transactions on Signal Processing, 63(24), 6684–6697.

Downloads

Published

2023-03-31

Issue

Vol. 7 No. 1 (2023): Histogram

Section

Articles

Citation Check

License

 

Please find the rights and licenses in Histogram: Jurnal Pendidikan Matematika. By submitting the article/manuscript of the article, the author(s) accept this policy.

1. License

The non-commercial use of the article will be governed by the Creative Commons Attribution license as currently displayed on Creative Commons Attribution-ShareAlike 4.0 International. 

2. Author’s Warranties

The author warrants that the article is original, written by a stated author(s), has not been published before, contains no unlawful statements, does not infringe the rights of others, is subject to copyright that is vested exclusively in the author and free of any third party rights, and that any necessary written permissions to quote from other sources have been obtained by the author(s).

3. User Rights

Histogram: Jurnal Pendidikan Matematika spirit is to disseminate articles published are as free as possible. Under the Creative Commons license, Histogram: Jurnal Pendidikan Matematika permits users to copy, distribute, display, and perform the work for non-commercial purposes only. Users will also need to attribute authors and Histogram: Jurnal Pendidikan Matematika on distributing works in the journal.

4. Rights of Authors

Authors retain all their rights to the published works, such as (but not limited to) the following rights;

  • Copyright and other proprietary rights relating to the article, such as patent rights,
  • The right to use the substance of the article in own future works, including lectures and books,
  • The right to reproduce the article for own purposes,
  • The right to self-archive the article,
  • The right to enter into separate, additional contractual arrangements for the non-exclusive distribution of the article's published version (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal (Histogram: Jurnal Pendidikan Matematika).

5. Co-Authorship

If the article was jointly prepared by other authors, any authors submitting the manuscript warrants that he/she has been authorized by all co-authors to be agreed on this copyright and license notice (agreement) on their behalf, and agrees to inform his/her co-authors of the terms of this policy. Histogram: Jurnal Pendidikan Matematika will not be held liable for anything that may arise due to the author(s) internal dispute. Histogram: Jurnal Pendidikan Matematika will only communicate with the corresponding author.

6. Royalties

This agreement entitles the author to no royalties or other fees. To such extent as legally permissible, the author waives his or her right to collect royalties relative to the article in respect of any use of the article by Histogram: Jurnal Pendidikan Matematika.

7. Miscellaneous

Histogram: Jurnal Pendidikan Matematika will publish the article (or have it published) in the journal if the article’s editorial process is successfully completed. Histogram: Jurnal Pendidikan Matematika h editors may modify the article to a style of punctuation, spelling, capitalization, referencing and usage that deems appropriate. The author acknowledges that the article may be published so that it will be publicly accessible and such access will be free of charge for the readers as mentioned in point 3.