MENENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL CONDITIONAL MEAN VARIANCE
ABSTRACT: When the returns of
stock prices show the existence of autocorrelation and heteroscedasticity, then
conditional mean variance models are suitable method to model the behavior of
the stocks. In this thesis, the implementation of the conditional mean variance
model to the autocorrelated and heteroscedastic return was discussed. The aim
of this thesis was to assess the effect of the autocorrelated and
heteroscedastic returns to the optimal solution of a portfolio. The margin of
four stocks, Fortune Mate Indonesia Tbk (FMII.JK), Bank Permata Tbk (BNLI.JK),
Suryamas Dutamakmur Tbk (SMDM.JK) dan Semen Gresik Indonesia Tbk (SMGR.JK) were
estimated byGARCH(1,1) model with standard innovations following the standard
normal distribution and the t-distribution. The estimations were used to
construct a portfolio. The portfolio optimal was found when the standard
innovation used was t-distribution with the standard deviation of 1.4532 and
the mean of 0.8023 consisting of 0.9429 (94%) of FMII stock, 0.0473 (5%) of
BNLI stock, 0% of SMDM stock, 1% of SMGR stock.
Penulis: I Gede Ery Niscahyana
Kode Jurnal: jpmatematikadd160178
