PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN
The concept of mean-variance optimization, developed by Markowitz, is the cornerstone of modern finance theory. The objective of this portfolio construction is to minimize investment risk by forming optimal portfolios. Dynamic movement in capital markets requires not only changes in portfolio compos...
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| Format: | Article |
| Language: | Indonesian |
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Telkom University
2017-04-01
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| Series: | Jurnal Manajemen Indonesia |
| Subjects: | |
| Online Access: | http://journals.telkomuniversity.ac.id/ijm/article/view/710 |
| _version_ | 1818445731511402496 |
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| author | Andi Ivand Markemo Boangmanalu Puput Tri Komalasar |
| author_facet | Andi Ivand Markemo Boangmanalu Puput Tri Komalasar |
| author_sort | Andi Ivand Markemo Boangmanalu |
| collection | DOAJ |
| description | The concept of mean-variance optimization, developed by Markowitz, is the cornerstone of modern finance theory. The objective of this portfolio construction is to minimize investment risk by forming optimal portfolios. Dynamic movement in capital markets requires not only changes in portfolio composition. Optimal portfolio is not only determined by the covariance between securities in the portfolio, but also by holding period. The aims of this study is to answer two research questions. The first research question is how long the optimal holding period that was resulted from trade-off between risk and return. This study using target return that are determined hypothetically as well as the risk criteria are divided into 3 namely the mean variance, semivarians and expected loss. Target returns are simulated in this study were divided into 3 criteria namely aggressive, moderate and conservative. The second research question is whether there are differences among the various portfolio performance based on criteria of risk and target return. Portfolio performance is measured by using excess return and the Sharpe index. In this study, stocks covered in LQ-45 index are used to construct efficient portoflio. Monthly price series for company and LQ-45 index for February 2004 to September 2008 are collected. The analysis found that optimal holing period is ranges between 1-5 months. Holding period of a portfolio that more than 5 months will provide risk and return trade-off less favorable. In addition this study found that there was no significant differences in portfolio performance based on overall scenarios |
| first_indexed | 2024-12-14T19:36:29Z |
| format | Article |
| id | doaj.art-e58368c8440d4e30b8f9c582ca4d18b6 |
| institution | Directory Open Access Journal |
| issn | 1411-7835 2502-3713 |
| language | Indonesian |
| last_indexed | 2024-12-14T19:36:29Z |
| publishDate | 2017-04-01 |
| publisher | Telkom University |
| record_format | Article |
| series | Jurnal Manajemen Indonesia |
| spelling | doaj.art-e58368c8440d4e30b8f9c582ca4d18b62022-12-21T22:49:53ZindTelkom UniversityJurnal Manajemen Indonesia1411-78352502-37132017-04-0115211512610.25124/jmi.v15i2.710PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURNAndi Ivand Markemo Boangmanalu0Puput Tri Komalasar1Fakultas Ekonomi dan Bisnis, Universitas AirlanggaFakultas Ekonomi dan Bisnis, Universitas AirlanggaThe concept of mean-variance optimization, developed by Markowitz, is the cornerstone of modern finance theory. The objective of this portfolio construction is to minimize investment risk by forming optimal portfolios. Dynamic movement in capital markets requires not only changes in portfolio composition. Optimal portfolio is not only determined by the covariance between securities in the portfolio, but also by holding period. The aims of this study is to answer two research questions. The first research question is how long the optimal holding period that was resulted from trade-off between risk and return. This study using target return that are determined hypothetically as well as the risk criteria are divided into 3 namely the mean variance, semivarians and expected loss. Target returns are simulated in this study were divided into 3 criteria namely aggressive, moderate and conservative. The second research question is whether there are differences among the various portfolio performance based on criteria of risk and target return. Portfolio performance is measured by using excess return and the Sharpe index. In this study, stocks covered in LQ-45 index are used to construct efficient portoflio. Monthly price series for company and LQ-45 index for February 2004 to September 2008 are collected. The analysis found that optimal holing period is ranges between 1-5 months. Holding period of a portfolio that more than 5 months will provide risk and return trade-off less favorable. In addition this study found that there was no significant differences in portfolio performance based on overall scenarioshttp://journals.telkomuniversity.ac.id/ijm/article/view/710holding periodportfolio performancerisk criteriatarget return |
| spellingShingle | Andi Ivand Markemo Boangmanalu Puput Tri Komalasar PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN Jurnal Manajemen Indonesia holding period portfolio performance risk criteria target return |
| title | PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN |
| title_full | PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN |
| title_fullStr | PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN |
| title_full_unstemmed | PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN |
| title_short | PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN |
| title_sort | portofolio markowitz uji optimal holding period dan kinerja portofolio berdasarkan kriteria risiko dan target return |
| topic | holding period portfolio performance risk criteria target return |
| url | http://journals.telkomuniversity.ac.id/ijm/article/view/710 |
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