OPTIMISASI PORTOFOLIO MENGGUNAKAN METODE MEAN-SEMIVARIANCE DENGAN PENDEKATAN HEURISTIK DAN LOWER PARTIAL MOMENT DERAJAT 2; PORTFOLIO OPTIMIZATION USING MEANSEMIVARIANCE METHOD WITH HEURISTIC APPROACH AND LOWER PARTIAL MOMENT 2-DEGREE

SOFIYATI, NOOR, Gunardi

2016 | Disertasi | FMIPA

This thesis discussed about stock portfolio optimization using meansemivariance heuristic and mean-LPM 2-degree methods, and compared with the mean-variance method. Variance measures the return above and below the target return as a risk. Semivariance and Lower Partial Moment are the downside risk measurement tool, namely the risk of a return below the target return, because for the investors, the real risk is the risk of a return below the target. Determining the proportion of the weight of each stock in the portfolio used quadratic programming. Three of these methods that will be applied to the stock price data that included in the LQ-45 index in 2014. The results showed that the mean-semivariance portfolio and mean-LPM 2-degree are better than the mean-variance portfolio when economic condition is unfavorable. In this case, the results obtained that the methods of mean-LPM 2-degree and mean-semivariance generate the value of risk adjusted return greater than the mean-variance.

Kata Kunci : stock portofolio, downside risk, mean-variance, mean-semivariance, mean-LPM 2-degree, quadratic programming.