Open AccessComparison of quadratic investment portfolio on five stocks of mining companies with risk free assets and without risk free assets
Author(s) -
Naomi Pandiangan,
Sukono Sukono,
Endang Soeryana Hasbullah
Publication year - 2021
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1722/1/012069
Subject(s) - portfolio , portfolio optimization , business , investment (military) , economics , finance , financial economics , actuarial science , politics , political science , law
All types of investment have different risks. One way to avoid risk is to diversify the capital fund into several investment assets. The problem is determining the optimal differential weight for each asset. The purpose of this study is to determine the weight of the investment portfolio with risk free assets and without risk free assets. The method used in this study is a quadratic investment portfolio model. The optimization is done by using the Lagrangian Multiplier method. The assets analyzed used several mining stocks and deposits with an interest rate according to the Indonesian Bank rate. The expected results from this study are to obtain the optimal weight allocated to each asset in ordering an investment portfolio. Based on the results of the optimization, it can be used as a consideration for investors in making investments.