Open AccessAnalysis of Optimal Portfolio Formation Using Single Index Model and Stochastic Dominance on Sri-Kehati Index
Author(s) -
S.Ag. Nurul Huda,
Pardomun Sihombing
Publication year - 2022
Publication title -
european journal of business and management research
Language(s) - English
Resource type - Journals
ISSN - 2507-1076
DOI - 10.24018/ejbmr.2022.7.1.1264
Subject(s) - stochastic dominance , portfolio , treynor ratio , index (typography) , single index model , dominance (genetics) , econometrics , mathematics , statistics , portfolio optimization , rate of return on a portfolio , economics , computer science , financial economics , sharpe ratio , biology , biochemistry , world wide web , gene
This study directly applies the Single Index Model and Stochastic Dominance to solve the portfolio selection problem. This study aims to determine the difference in performance between the Single Index Model and Stochastic Dominance. The use of secondary data was used in this study by selecting the sample using the purposive sampling technique. If viewed based on the portfolio return, the single-index model can produce a portfolio return of (1.548%) and a stochastic dominance return of (0.888%). The results show that the value of the Stochastic Dominance portfolio formation has a Treynor index which is 2.22% higher than the Single Index Model with a Treynor index of 2.09%.