Open AccessPortofolio Optimization Through MPT on any Economic Situation on Indonesian Stock Exchange (2010-2020)
Author(s) -
Media Rosha,
A Arnellis
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 - 10.1088/1742-6596/1742/1/012016
Subject(s) - diversification (marketing strategy) , portfolio , systematic risk , investment portfolio , financial economics , portfolio optimization , indonesian , economics , modern portfolio theory , stock market , stock exchange , business , actuarial science , finance , marketing , paleontology , linguistics , philosophy , horse , biology
Modern portfolio theory told us that investors are tend to optimize the expected return of investment subject to a target of risk perception. In the real world, risks are depend on may factors, such as systematic risk (market risk and macroeconomics risk which can not be controlled to diversification) and non-systematic risk (specific company risk which can not be controlled through diversification). Applying Security Market Line Approach, constrained maximization and considering changes in economic situation between 2010-2020, we found that Modern Portfolio Theory can improve portfolio performance when limited impact is spotted on minimizing systematic risk of portfolio.