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Optimalisasi Risiko Saham Menggunakan Optimalisasi Portofolio Markowitz (Studi Kasus Saham Di Indonesia)

Author

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  • Ahmar, Ansari Saleh

    (Universitas Negeri Makassar)

  • Arifin, Andi Nurani Mangkawani

Abstract

Perdagangan saham di Indonesia dan di dunia yang kadang naik dan kadang turun membuat seorang investor harus berpikir keras agar dapat memperoleh keuntungan yang maksimal dan risiko yang minimal. Investor dapat mengurangi risiko dengan melakukan diversifikasi investasi. Salah satu investasi diversifikasi adalah portofolio. Teori portofolio dibentuk dengan asumsi bahwa investor dengan tepat dapat memilih aset portofolio dengan tujuan memaksimalkan keuntungan yang diharapkan dari tingkat risiko tertentu. Dalam tulisan ini, penulis mencoba untuk menyajikan bagaimana menentukan portofolio optimal menggunakan Markowitz Portofolio Model. Markowitz teori portofolio ditekankan pada memaksimalkan return ekspektasi (mean) dan meminimalkan risiko (varians) dalam rangka memilih dan memperoleh portofolio yang optimal.

Suggested Citation

  • Ahmar, Ansari Saleh & Arifin, Andi Nurani Mangkawani, 2017. "Optimalisasi Risiko Saham Menggunakan Optimalisasi Portofolio Markowitz (Studi Kasus Saham Di Indonesia)," INA-Rxiv 5v27k, Center for Open Science.
    • Handle: RePEc:osf:inarxi:5v27k
    DOI: 10.31219/osf.io/5v27k
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    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
    3. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2015. "Mathematical Financial Economics," Springer Texts in Business and Economics, Springer, edition 127, number 978-3-319-16571-4, June.
    4. Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.
    5. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2015. "Solution to the Markowitz Optimization Problem," Springer Texts in Business and Economics, in: Mathematical Financial Economics, edition 127, chapter 3, pages 19-25, Springer.
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