MEAN-VARIANCE INVESTMENT PORTFOLIO OPTIMIZATION MODEL WITHOUT RISK-FREE ASSETS IN JII70 SHARE
نویسندگان
چکیده
In investing, investors will try to limit all the risks in managing their investments. Investor strategies minimize investment risk are diversification by forming portfolios, one of which is Mean-Variance without risk-free assets. The calculation results show composition optimum portfolio return for each stock that forms portfolio. Optimum obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight TLKM, KLBF, INCO, HRUM, and FILM stocks. this optimal ???? 0.04 a 0.00209 variance 0.00015. formation optimization model expected be additional literature optimizing Mean-Variance.
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ژورنال
عنوان ژورنال: International Journal of Business, Economics, and Social Development
سال: 2022
ISSN: ['2722-1164', '2722-1156']
DOI: https://doi.org/10.46336/ijbesd.v3i4.352