Open AccessANALISIS PORTOFOLIO SAHAM LQ45 MENGGUNAKAN FUNGSI UTILITAS KUADRATIK
Author(s) -
Kadek Frisca Ayu Devi,
Komang Dharmawan,
Ni Made Asih
Publication year - 2013
Publication title -
e-jurnal matematika
Language(s) - English
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2013.v02.i01.p025
Subject(s) - portfolio , portfolio optimization , risk aversion (psychology) , index (typography) , econometrics , expected utility hypothesis , economics , quadratic equation , preference , variance (accounting) , modern portfolio theory , rate of return on a portfolio , expected return , efficient frontier , quadratic function , mathematics , financial economics , microeconomics , computer science , geometry , accounting , world wide web
Utility function can use to give risk preference for investors who want to get the benefits gained meets investment targets. Quadratic utility functions on optimal portfolio is strongly influenced by the expected return and standard deviation. The establishment of optimal portfolios using a quadratic utility function optimization problems. Under the settlement portfolio optimization, the necessary data is expected return, variance, and variance covariance matrix. The optimal portfolio is affected by some factors Risky less Rate, risk aversion index, and Borrow Rate. The results of settlement portfolio optimization is obtaining the utility value while the relatively large changes influencing by risk averse index.