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Construction Portfolio Using Elton Gruber Model: COVID-19

Author

Listed:
  • Adler Haymans Manurung
  • Nita Yudhaningsih Sinaga
  • Amran Manurung

Abstract

This research aims to examine construction of the portfolio and also to explore factor variable affected on portfolio return. Portfolio stock derived the Elton Gruber model and compared it with portfolio returns calculated using the Equal Weighted and market capitalization weighted. This research used stock that is member of the Sri-Kehati Business Index, and monthly data from January 2015 to June 2022. This research has finding that there are 6 stocks to become member of stocks portfolio using Elton Gruber Model. By using Coefficient of Variation (CV), the equal weighted has the good portfolio because it has lowest of variation. Using t-test, there are no significant differences for three portfolios. Market Shock, Exchange Rate, Interest Rate and COVID-19 significantly affect Portfolio Return of Elton Gruber Model. Equal Weighted and Market Capitalization Portfolio only affect by Market shock. Based on this research results, it has implication that Investors do not need Fund Manager to manage their portfolio if investor use equal weighted or market capitalization weighted mode. Â JEL classification numbers: B26, B41, C01, C13, C51, D53, E44.

Suggested Citation

  • Adler Haymans Manurung & Nita Yudhaningsih Sinaga & Amran Manurung, 2023. "Construction Portfolio Using Elton Gruber Model: COVID-19," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-6.
    • Handle: RePEc:spt:apfiba:v:13:y:2023:i:4:f:13_4_6
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    References listed on IDEAS

    as
    1. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-1357, December.
    2. Harry Markowitz, 1956. "The optimization of a quadratic function subject to linear constraints," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 3(1‐2), pages 111-133, March.
    3. Masoud Rahiminezhad Galankashi & Farimah Mokhatab Rafiei & Maryam Ghezelbash, 2020. "Portfolio selection: a fuzzy-ANP approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-34, December.
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    Cited by:

    1. Adler Haymans Manurung & Nera Marinda Machdar & Jadongan Sijabat & Amran Manurung, 2024. "The Construction of a Portfolio Using Varying Methods and the Effects of Variables on Portfolio Return," International Journal of Economics and Financial Issues, Econjournals, vol. 14(1), pages 233-241, January.
    2. Adler Haymans MANURUNG & Fadh Fauzi HIBATULLAH & Jadongan SIJABAT, 2023. "Stock Selection Using Roy Criteria to Construct a Portfolio and the Effects of Variables on Portfolio Return," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(3), pages 1-2.

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    More about this item

    Keywords

    Construction Portfolio; Return Portfolio; Market Capitalization; Equal Weighted; Oil Price; Exchange Rate and interest rate; COVID-19.;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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