Article Per Year (5 Year)
p-Index From 2019 - 2024
0
P-Index
This Author published in this journals
All Journal E-Jurnal Matematika
I GEDE ERY NISCAHYANA
Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
MENENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL CONDITIONAL MEAN VARIANCE I GEDE ERY NISCAHYANA; KOMANG DHARMAWAN; I NYOMAN WIDANA
E-Jurnal Matematika Vol 5 No 3 (2016)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2016.v05.i03.p125

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.
Co-Authors I Nyoman Widana Komang Dharmawan