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All Journal Eksakta : Berkala Ilmiah Bidang MIPA
Muhammad Rashif Hilmi
Dapartment Islamic Community Development, Faculty of Da’wa and Communication Sunan Kalijaga State Islamic University in Yogyakarta, Yogyakarta, Indonesia
Agriculture, Biological Sciences & Forestry Astronomy Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Energy Engineering Environmental Science Materials Science & Nanotechnology Mathematics Mechanical Engineering

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Comparison of Portfolio Mean-Variance Method with the Mean-Variance-Skewness-Kurtosis Method in Indonesia Stocks Dina Agustina; Devni Prima Sari; Rara Sandhy Winanda; Muhammad Rashif Hilmi; Dina Fakhriyana
EKSAKTA: Berkala Ilmiah Bidang MIPA Vol. 23 No. 02 (2022): Eksakta : Berkala Ilmiah Bidang MIPA (E-ISSN : 2549-7464)
Publisher : Faculty of Mathematics and Natural Sciences (FMIPA), Universitas Negeri Padang, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (788.102 KB) | DOI: 10.24036/eksakta/vol23-iss02/316

Abstract

In this paper, we compare the optimal portfolio weight of mean-variance (MV) method with mean-variance-skewness-kurtosis (MVSK) method. MV is a method to get weight on a portfolio. This method can be developed into the method of MVSK with attention to the higher-order moment of return distribution; skewness and kurtosis. In determining the weight of portfolio is also important to consider the skewness and kurtosis of return distribution. This method of considering the aspect of skewness and kurtosis is called the MVSK method with the aim of maximizing the level of return and skewness and minimizing the risks and exceeding of kurtosis. The result indicate that the optimal portfolio return of all methods is MVSK method with minimize variance priority.
Co-Authors Devni Prima Sari Dina Agustina Dina Fakhriyana Rara Sandhy Winanda