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All Journal E-Jurnal Matematika
NI KADEK NITA SILVANA SUYASA
Universitas Udayana
Mathematics

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PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION NI KADEK NITA SILVANA SUYASA; KOMANG DHARMAWAN; KARTIKA SARI
E-Jurnal Matematika Vol 10 No 2 (2021)
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.2021.v10.i02.p322

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.
Co-Authors Kartika Sari Komang Dharmawan