Open AccessPERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION
Author(s) -
Ni Kadek Nita Silvana Suyasa,
Komang Dharmawan,
Kartika Sari
Publication year - 2021
Publication title -
e-jurnal matematika
Language(s) - English
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2021.v10.i02.p322
Subject(s) - semivariance , absolute deviation , standard deviation , mathematics , downside risk , statistics , absolute return , portfolio , econometrics , economics , financial economics , investment performance , spatial variability , return on investment , production (economics) , macroeconomics
Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.