Karakteristik Kurva Efisien Frontier dalam Menentukan Portofolio Optimal
DOI:
https://doi.org/10.9744/jti.18.1.43-50Keywords:
kurva efisien frontier, portofolio minimum variance, portofolio tangency, portofolio mean-variance, metode LagrangeAbstract
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.
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Articles published in the Jurnal Teknik Industri: Jurnal Keilmuan dan Aplikasi Teknik Industri will be Open-Access articles distributed under the terms and conditions of the Creative Commons Attribution License (CC BY).
This work is licensed under a Creative Commons Attribution License (CC BY).
