Karakteristik Kurva Efisien Frontier dalam Menentukan Portofolio Optimal

epha diana supandi




Abstract


Pada tulisan ini karakteristik kurva efisien frontier pada model portofolio Markowitz diteliti secara matematis. Portofolio optimal diperoleh dengan menggunakan metode Lagrange. Pada penelitian ini juga dikaji karakteristik portofolio optimal pada portofolio minimum variance, portofolio tangency dan portofolio mean-variance serta posisinya pada kurva efisien frontier. Lebih lanjut untuk memberikan gambaran yang lebih konkrit maka diberikan contoh numerik pada beberapa saham yang diperdagangkan di pasar modal Indonesia.


Keywords


kurva efisien frontier; portofolio minimum variance; portofolio tangency; portofolio mean-variance; metode Lagrange

References


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The Journal is published by The Institute of Research & Community Outreach - Petra Christian University. It available online supported by Directorate General of Higher Education - Ministry of National Education - Republic of Indonesia.

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