PORTOFOLIO OPTIMAL DENGAN CONSTANT CORRELATION MODEL; OPTIMAL PORTFOLIO BY CONSTANT CORRELATION MODEL

KURNIAWATI ROSA UPADI, Dedi Rosadi

2013 | Skripsi | PROGRAM STUDI STATISTIKA

Mean-Variance method is a method commonly used in modelling portfolio introduced by Markowitz in 1952. Mean-Variance method using variancecovariance matrix of securities in the calculation so that in the cases involving multiple securities, using the Mean-Variance calculations will take longer. Elton, Gruber, and Padberg (1976) presented Constant Correlation Model with simple ranking procedure to simplify the calculation. This method is also included riskfree asset in the calculation. Constant Correlation Model is based on the assumption of a co-movement between securities. This final assignment will explain how to construct optimal portfolio by Constant Correlation Model, which will be compared with Mean-Variance method to determine which method has better performance. The comparator measure that used is Sharpe Ratio.

Kata Kunci : Portofolio; Model Korelasi Konstan; Sharpe Ratio