Eksakta : Berkala Ilmiah Bidang MIPA
Vol. 23 No. 02 (2022): Eksakta : Berkala Ilmiah Bidang MIPA (E-ISSN : 2549-7464)

Comparison of Portfolio Mean-Variance Method with the Mean-Variance-Skewness-Kurtosis Method in Indonesia Stocks

Dina Agustina (Department of Mathematics, Faculty of Mathematics and Natural Science, Universitas Negeri Padang, Padang, Indonesia)
Devni Prima Sari (Department of Mathematics, Faculty of Mathematics and Natural Science, Universitas Negeri Padang, Padang, Indonesia)
Rara Sandhy Winanda (Department of Mathematics, Faculty of Mathematics and Natural Science, Universitas Negeri Padang, Padang, Indonesia)
Muhammad Rashif Hilmi (Dapartment Islamic Community Development, Faculty of Da’wa and Communication Sunan Kalijaga State Islamic University in Yogyakarta, Yogyakarta, Indonesia)
Dina Fakhriyana (Tadris Matematika, Faculty of Tarbiah, IAIN Kudus, Central Jawa, Indonesia)

Article Info

Publish Date
30 Jun 2022

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.

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Journal Info
Eksakta : Berkala Ilmiah Bidang MIPA
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Abbrev

eksakta

Publisher

Universitas Negeri Padang

Subject

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

Description

Eksakta : Berkala Ilmiah Bidang MIPA (E-ISSN : 2549-7464) is an open access journal and peer-reviewed that publishes either original article or reviews. The journal is dedicated towards dissemination of knowledge related to the advancement in scientific research. The prestigious interdisciplinary ...