Karakteristik Kurva Efisien Frontier dalam Menentukan Portofolio Optimal  

Oleh:

Supandi, Epha Diana ; Rosadi, Dedi ; Abdurahman

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI - non-atma jaya
Dalam koleksi: Jurnal Teknik Industri vol. 18 no. 1 (2016), page 43-50.
Topik: Efficient frontier curve; minimum-variance portfolio; tangency portfolio; mean-variance portfolio; Lagrange methods.
Fulltext: 19474-24567-1-PB.pdf (450.76KB)

Isi artikel

In this paper the characteristics of efficient frontier curve on Markowitz portfolio model mathematically investigated. The optimal portfolio is obtained by using Lagrange methods. Also, in this study the characteristics of optimal portfolio on minimum variance portfolio, tangency portfolio and the mean-variance portfolio examined as well as its position on the efficient frontier curve. Furthermore, a numerical example from data based on several stocks traded in Indonesian capital market is provided to show a more real problem solution.

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