Jurnal Teknik Industri
Vol. 12 No. 2 (2010): DECEMBER 2010

Optimisasi Portofolio Mean-VaR di bawah CAPM Transformasi Koyck dengan Volatilitas Tak Konstan dan Efek Long Memory

Sukono Sukono (Fakultas Matematika dan Ilmu Pengetahuan Alam, Juruan Matematika, Universitas Padjajaran)
Subanar Subanar (Fakultas Matematika dan Ilmu Pengetahuan Alam, Juruan Matematika, Universitas Gajah Mada)
Dedy Rosadi (Fakultas Matematika dan Ilmu Pengetahuan Alam, Juruan Matematika, Universitas Gajah Mada)

Article Info

Publish Date
06 Dec 2010

Abstract

In this paper we formulated mean-VaR portfolio optimization through CAPM Koyck transformation. We assumed that lagged of risk premium which have highly influence on stock returns is infinite, while model parameters decrease geometrically. We also assumed that rate of return in risk premium market index is not constant, in other word has a non-constant volatility rate, and also has a long memory effect. The later was analyzed using ARFIMA. Non constant volatility rate was modeled via GARCH model. The portfolio optimization was constructed using Langrangian multiplier and the Kuhn-Tucker theorem was employed to obtain the solution by the least square method. Finally, we provide a numerical example of the optimization model based on several stocks traded in Indonesian capital market.

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Journal Info
Jurnal Teknik Industri
Website

Abbrev

ind

Publisher

Universitas Kristen Petra Surabaya

Subject

Industrial & Manufacturing Engineering

Description

Jurnal Teknik Industri aims to: Promote a comprehensive approach to the application of industrial engineering in industries as well as incorporating viewpoints of different disciplines in industrial engineering. Strengthen academic exchange with other institutions. Encourage scientist, practicing ...