Karakteristik Kurva Efisien Frontier dalam Menentukan Portofolio Optimal
Abstract: In this paper the
characteristics of efficient frontier curve on Markowitz portfolio model
mathematically investigated. The optimal portfolio is obtained by using
Lagrange methods. Also, in this study the characteristics of optimal portfolio
on minimum variance portfolio, tangency portfolio and the mean-variance
portfolio examined as well as its position on the efficient frontier curve.
Furthermore, a numerical example from data based on several stocks traded in
Indonesian capital market is provided to show a more real problem solution.
Keywords: Efficient frontier
curve, minimum-variance portfolio, tangency portfolio, mean-variance portfolio,
Lagrange methods
Penulis: Epha Diana Supandi,
Dedi Rosadi, Abdurahman Abdurahman
Kode Jurnal: jptindustridd160064
