ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK
Utility function can use to give risk preference for investors who want to get the benefits gained meets investment targets. Quadratic utility functions on optimal portfolio is strongly influenced by the expected return and standard deviation. The establishment of optimal portfolios using a quadrati...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universitas Udayana
2013-01-01
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| Series: | E-Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/4915 |
| _version_ | 1811302800858021888 |
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| author | KADEK FRISCA AYU DEVI KOMANG DHARMAWAN NI MADE ASIH |
| author_facet | KADEK FRISCA AYU DEVI KOMANG DHARMAWAN NI MADE ASIH |
| author_sort | KADEK FRISCA AYU DEVI |
| collection | DOAJ |
| description | Utility function can use to give risk preference for investors who want to get the benefits gained meets investment targets. Quadratic utility functions on optimal portfolio is strongly influenced by the expected return and standard deviation. The establishment of optimal portfolios using a quadratic utility function optimization problems. Under the settlement portfolio optimization, the necessary data is expected return, variance, and variance covariance matrix. The optimal portfolio is affected by some factors Risky less Rate, risk aversion index, and Borrow Rate. The results of settlement portfolio optimization is obtaining the utility value while the relatively large changes influencing by risk averse index. |
| first_indexed | 2024-04-13T07:35:43Z |
| format | Article |
| id | doaj.art-7eba00be80934b6c80a0763799ed6d7e |
| institution | Directory Open Access Journal |
| issn | 2303-1751 |
| language | English |
| last_indexed | 2024-04-13T07:35:43Z |
| publishDate | 2013-01-01 |
| publisher | Universitas Udayana |
| record_format | Article |
| series | E-Jurnal Matematika |
| spelling | doaj.art-7eba00be80934b6c80a0763799ed6d7e2022-12-22T02:56:09ZengUniversitas UdayanaE-Jurnal Matematika2303-17512013-01-0121333610.24843/MTK.2013.v02.i01.p0254915ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIKKADEK FRISCA AYU DEVI0KOMANG DHARMAWAN1NI MADE ASIH2Universitas UdayanaUniversitas UdayanaUniversitas UdayanaUtility function can use to give risk preference for investors who want to get the benefits gained meets investment targets. Quadratic utility functions on optimal portfolio is strongly influenced by the expected return and standard deviation. The establishment of optimal portfolios using a quadratic utility function optimization problems. Under the settlement portfolio optimization, the necessary data is expected return, variance, and variance covariance matrix. The optimal portfolio is affected by some factors Risky less Rate, risk aversion index, and Borrow Rate. The results of settlement portfolio optimization is obtaining the utility value while the relatively large changes influencing by risk averse index.https://ojs.unud.ac.id/index.php/mtk/article/view/4915 |
| spellingShingle | KADEK FRISCA AYU DEVI KOMANG DHARMAWAN NI MADE ASIH ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK E-Jurnal Matematika |
| title | ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK |
| title_full | ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK |
| title_fullStr | ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK |
| title_full_unstemmed | ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK |
| title_short | ANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK |
| title_sort | analisis portofolio saham lq45 menggunakan fungsi utilitas kuadratik |
| url | https://ojs.unud.ac.id/index.php/mtk/article/view/4915 |
| work_keys_str_mv | AT kadekfriscaayudevi analisisportofoliosahamlq45menggunakanfungsiutilitaskuadratik AT komangdharmawan analisisportofoliosahamlq45menggunakanfungsiutilitaskuadratik AT nimadeasih analisisportofoliosahamlq45menggunakanfungsiutilitaskuadratik |