Relevant bibliographies by topics / Disproportionaloity index of portfolio / Journal articles
To see the other types of publications on this topic, follow the link: Disproportionaloity index of portfolio.

Journal articles on the topic 'Disproportionaloity index of portfolio'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 journal articles for your research on the topic 'Disproportionaloity index of portfolio.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

Rudin, Alexander M., and jonathan S. Morgan. "A Portfolio Diversification Index." Journal of Portfolio Management 32, no. 2 (January 31, 2006): 81–89. http://dx.doi.org/10.3905/jpm.2006.611807.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Stutzer, Michael. "A Portfolio Performance Index." Financial Analysts Journal 56, no. 3 (May 2000): 52–61. http://dx.doi.org/10.2469/faj.v56.n3.2360.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Miller, Daren E. "A Portfolio Performance Index." CFA Digest 31, no. 1 (February 2001): 83–84. http://dx.doi.org/10.2469/dig.v31.n1.837.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Edirisinghe, N. C. P. "Index-tracking optimal portfolio selection." Quantitative Finance Letters 1, no. 1 (December 2013): 16–20. http://dx.doi.org/10.1080/21649502.2013.803789.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Woerheide, W. "An index of portfolio diversification." Financial Services Review 2, no. 2 (1993): 73–85. http://dx.doi.org/10.1016/1057-0810(92)90003-u.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Kvamvold, Joakim, and Snorre Lindset. "Index trading and portfolio risk." Journal of Economics and Finance 41, no. 1 (August 20, 2015): 78–99. http://dx.doi.org/10.1007/s12197-015-9334-6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Asai, Manabu, and Michael McAleer. "A Portfolio Index GARCH model." International Journal of Forecasting 24, no. 3 (July 2008): 449–61. http://dx.doi.org/10.1016/j.ijforecast.2008.06.006.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Prakash, A. Arun. "A Study on Comparison of Index Returns and Returns of Portfolio Created Using Equal Weight Age Index Method." International Journal of Advances in Management and Economics 9, no. 2 (February 28, 2020): 28–31. http://dx.doi.org/10.31270/ijame/v09/i02/2020/3.

Full text
Abstract:
The main aim of the study is to select a list of companies from the basic indices of NSE like Nifty50, Next50 and Small Cap 50, to create a portfolio of the companies with respect to the indices selected for the study which results in 3 different portfolios. Portfolio 1 represents 29 scrips selected from Nifty50, Portfolio 2 represents 30 scrips selected from the Next50 index, and Portfolio 3 represents 34 scrips selected from Small Cap index. After creating the portfolios, Each scrip under each portfolio will be invested with Rs.1,00,000, each scrip in each portfolio will be given equal weightage so the total investment will be Rs.29,00,000, Rs.30,00,000 and Rs.34,00,000, under Portfolio 1, 2 and 3 respectively. To prove the factor that the returns of the created portfolio has beaten the index returns the price data of all the scrips for the past 10 years were taken and the returns were computed for the portfolio year on year and from 2008 to 2018. Keywords: Index Returns, Returns of Portfolio, Equal Weight Age Index Method
APA, Harvard, Vancouver, ISO, and other styles
9

Yardha, Muhammad Saufa. "ANALISIS PORTOFOLIO INVESTASI PADA SAHAM SEKTOR PROPERTI YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX DENGAN PENDEKATAN SHARPE INDEX, TREYNOR INDEX, DAN JENSEN INDEX." Studia Economica : Jurnal Ekonomi Islam 1, no. 2 (July 6, 2015): 151. http://dx.doi.org/10.30821/se.v1i2.244.

Full text
Abstract:
<p>This study aimed to analyze the investment portfolio in the property sector stocks listed in JII using the Sharpe Index, Treynor Index and Jensen Index. Research carried out by using a different test is based on data about the performance of the portfolio during the period of 2010-2014. Based on the data processing obtained F value Calculate for the return of the portfolio in a row that the BSDE amounted to 23 904, CTRA amounted to 21,250, LPKR amounted to 44 981, and SMRA amounted to 38 729, then to see the F Calculate there, the conclusion that F count&gt; F table is on BSDE 23 904&gt; 3.885294, at CTRA 21,250&gt; 3.885294, on LPKR amounted to 44 981&gt; 3.885294, and the SMRA 38 729&gt; 3.885294, and a significance level of &lt;0.05 then the conclusion is not the differences significant return between BSDE, CTRA, LPKR, and SMRA approach Sharpe Index, Treynor Index and Jensen Index. While in terms of performance, there are differences in the performance of the portfolio using Sharpe Index, Treynor Index and Jensen Index.</p>
APA, Harvard, Vancouver, ISO, and other styles
10

Grimaldi, Michele, Livio Cricelli, and Francesco Rogo. "Valuating and analyzing the patent portfolio: the patent portfolio value index." European Journal of Innovation Management 21, no. 2 (May 14, 2018): 174–205. http://dx.doi.org/10.1108/ejim-02-2017-0009.

Full text
Abstract:
Purpose The purpose of the paper is to advance a framework that can assess and analyze the value of patent portfolios. On this purpose, the framework develops a conceptual and comprehensive index, the patent portfolio value index (PPVI), to assess the patent innovation level and suggest economic-strategic guidelines. Design/methodology/approach The authors have designed and applied a framework that synthesizes into a single index the results of a multiple criteria approach, based on information derived from quantitative objective data (claims, citations, and market coverage), information related to qualitative determinants (strategic positioning and economic importance), and information derived from decision makers’ perceptions and judgments. Findings The authors have applied the PPVI to the 3,532 patent portfolio documents in an Italian worldwide player in aerospace and defense market. The combined analysis, provided by the PPVI and a qualitative synoptic representation, has made it possible to understand the strategic positioning and alignment of patents with the core business of the company. The results of the analysis have provided managers with the necessary suggestions regarding action items to be performed: to reinforce, license, try to dismiss, or sell some of the examined patents of the portfolios. Practical implications The PPVI supplies a quick procedure to ascertain the profitability of patents and accounts for the value of a patent portfolio from an internal business perspective. Originality/value As it is built and defined, the PPVI shows elements of novelty compared to the other indexes existing in the literature, in that it follows a multiple criteria approach by merging quantitative and qualitative information.
APA, Harvard, Vancouver, ISO, and other styles
11

Ratner, Mitchell, and Chih-Chieh (Jason) Chiu. "Portfolio Effects of VIX Futures Index." Quantitative Finance and Economics 1, no. 3 (2017): 288–99. http://dx.doi.org/10.3934/qfe.2017.3.288.

Full text
APA, Harvard, Vancouver, ISO, and other styles
12

ENGIN, TAS, and TURKAN AYCA HATICE. "Regularized Index-Tracking Optimal Portfolio Selection." ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH 52, no. 3/2018 (September 25, 2018): 135–46. http://dx.doi.org/10.24818/18423264/52.3.18.09.

Full text
APA, Harvard, Vancouver, ISO, and other styles
13

Nisani, Doron. "Portfolio selection using the Riskiness Index." Studies in Economics and Finance 35, no. 2 (June 4, 2018): 330–39. http://dx.doi.org/10.1108/sef-03-2017-0058.

Full text
Abstract:
PurposeThe purpose of this paper is to increase the accuracy of the efficient portfolios frontier and the capital market line using the Riskiness Index.Design/methodology/approachThis paper will develop the mean-riskiness model for portfolio selection using the Riskiness Index.FindingsThis paper’s main result is establishing a mean-riskiness efficient set of portfolios. In addition, the paper presents two applications for the mean-riskiness portfolio management method: one that is based on the multi-normal distribution (which is identical to the MV model optimal portfolio) and one that is based on the multi-normal inverse Gaussian distribution (which increases the portfolio’s accuracy, as it includes the a-symmetry and tail-heaviness features in addition to the scale and diversification features of the MV model).Research limitations/implicationsThe Riskiness Index is not a coherent measurement of financial risk, and the mean-riskiness model application is based on a high-order approximation to the portfolio’s rate of return distribution.Originality/valueThe mean-riskiness model increases portfolio management accuracy using the Riskiness Index. As the approximation order increases, the portfolio’s accuracy increases as well. This result can lead to a more efficient asset allocation in the capital markets.
APA, Harvard, Vancouver, ISO, and other styles
14

Merrick, John J. "Portfolio insurance with stock index futures." Journal of Futures Markets 8, no. 4 (August 1988): 441–55. http://dx.doi.org/10.1002/fut.3990080405.

Full text
APA, Harvard, Vancouver, ISO, and other styles
15

de Paulo, Wanderlei Lima, Estela Mara de Oliveira, and Oswaldo Luiz do Valle Costa. "Enhanced index tracking optimal portfolio selection." Finance Research Letters 16 (February 2016): 93–102. http://dx.doi.org/10.1016/j.frl.2015.10.005.

Full text
APA, Harvard, Vancouver, ISO, and other styles
16

Chen, Chen, and Roy H. Kwon. "Robust portfolio selection for index tracking." Computers & Operations Research 39, no. 4 (April 2012): 829–37. http://dx.doi.org/10.1016/j.cor.2010.08.019.

Full text
APA, Harvard, Vancouver, ISO, and other styles
17

Santosa, Santosa, Noer Azam Achsani, and Hendro Sasongko. "GUARANTEE PRODUCT PORTFOLIO: PERFORMANCE AND OPTIMAL PORTFOLIO ANALYSIS." JIMFE (Jurnal Ilmiah Manajemen Fakultas Ekonomi) 6, no. 1 (June 17, 2020): 43–58. http://dx.doi.org/10.34203/jimfe.v6i1.1928.

Full text
Abstract:
This study aims to analyze the performance of guarantee products and optimize guarantee portfolio at PT Penjaminan ABC. The method used in forming the optimal guarantee portfolio is the Markowitz method and the single index model. The results of the formation of optimal portfolios based on the Markowitz method show that there are five eligible guarantee products included in the optimal guarantee portfolio, namely construction financing, counter bank, general financing, micro financing, and multi-use financing. While custom bond, surety bonds, and other guarantees are not included in the optimal portfolio. In contrast to the Markowitz method, based on the single index model, all guarantee products are not eligible to be included in the optimal guarantee portfolio. Managerial implications of the optimal guarantee product portfolio is an increase in guarantee returns which will further increase company profits and increase company equity. An increase in company equity will reduce the gearing ratio in order to comply with regulations, because the gearing ratio is calculated by dividing the outstanding guarantee volume by the total equity.
APA, Harvard, Vancouver, ISO, and other styles
18

Iskandar, Dini, Martalena Martalena, and Natasha Desiree Julianto. "Perbandingan Kinerja Portofolio yang Dibentuk dengan Single Index Model pada Saham-Saham yang Terdaftar dalam Indeks LQ45 dan Kompas 100 Tahun 2018." Jurnal Akuntansi Maranatha 12, no. 1 (May 17, 2020): 73–83. http://dx.doi.org/10.28932/jam.v12i1.2041.

Full text
Abstract:
Stocks as an investment instrument that categorized as a high risk dan high return instrument. Therefore, investors should distributed their invesment funds in a number of shares by forming an optimal portfolio where the highest return is obtain at a certain risk or the lowest risk at certain return. On this study the portfolio forming used the Single Index Model. Portfolio formed from stocks at LQ 45 Index and Kompas 100 Index by aim to get the comparison of their performance.The result of this study indicate that LQ 45 portfolio that containing PTBA, ICBP, BBCA, PGAS and ANTM has a lower return than Kompas 100 portfolio that containing KREN,CPIN, PTBA and JFPA. The performance of both portfolio that analyze by Sharpe Index, Treynor Index and Jensen Index indicate that portfolio of Kompas 100 better than portfolio of LQ 45 , however both of them showed the good performance because their result are positif that mean better than market. Keywords: Portfolio, Single Index Model, Sharpe Index, Treynor Index, Jensen Index.
APA, Harvard, Vancouver, ISO, and other styles
19

Desai, Radhika, and Manisha Surti. "Optimum Portfolio Construction: Sharpe Single Index Model." International Journal of Scientific Research 2, no. 9 (June 1, 2012): 250–51. http://dx.doi.org/10.15373/22778179/sep2013/82.

Full text
APA, Harvard, Vancouver, ISO, and other styles
20

Horan, Stephen M. "Asian Stock Index Futures: Enhancing Portfolio Performance." CFA Digest 30, no. 1 (February 2000): 91. http://dx.doi.org/10.2469/dig.v30.n1.636.

Full text
APA, Harvard, Vancouver, ISO, and other styles
21

Aiello, S. "International index funds and the investment portfolio." Financial Services Review 8, no. 1 (1999): 27–35. http://dx.doi.org/10.1016/s1057-0810(99)00029-3.

Full text
APA, Harvard, Vancouver, ISO, and other styles
22

Mumtaz, Muhammad Zubair, and Naoyuki Yoshino. "Greenness index: IPO performance and portfolio allocation." Research in International Business and Finance 57 (October 2021): 101398. http://dx.doi.org/10.1016/j.ribaf.2021.101398.

Full text
APA, Harvard, Vancouver, ISO, and other styles
23

Efflan, Jourdan Septiansyah. "Evaluasi Kinerja Portofolio Dengan Indeks Treynor Pada Portofolio Optimal Dan Portofolio Acak Di Bursa Efek Indonesia." Arthavidya Jurnal Ilmiah Ekonomi 21, no. 2 (September 26, 2019): 116–24. http://dx.doi.org/10.37303/a.v21i2.130.

Full text
Abstract:
This study aims to determine the composition of the optimal portfolio using a single index model, determine the composition of the random portfolio using naive diversification, then evaluate the performance of the portfolio formed using the Treynor index. This study uses monthly stock closing price data listed on the Indonesia Stock Exchange during the research period of August 2016 to July 2018. The optimal portfolio formed using a single index model consists of 40 shares, while a random portfolio consists of 10 shares. The results of the Treynor portfolio performance evaluation show that the optimal portfolio formed by the single index model method has better portfolio performance than the random portfolio.
APA, Harvard, Vancouver, ISO, and other styles
24

Stöckl, Sebastian, Michael Hanke, and Martin Angerer. "PRIX – A risk index for global private investors." Journal of Risk Finance 18, no. 2 (March 20, 2017): 214–31. http://dx.doi.org/10.1108/jrf-09-2016-0118.

Full text
Abstract:
Purpose The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor. Design/methodology/approach The authors first discuss existing risk measures and desirable properties of a risk index. Then, they construct a universal (asset-class-independent) portfolio risk measure by modifying Financial Turbulence of Kritzman and Li (2010). Finally, the average portfolio of a representative global private investor is determined, and, by applying the new portfolio risk measure, they derive the Private investor Risk IndeX. Findings The authors show that this index exhibits commonly expected properties of risk indices, such as proper reaction to well-known historical market events, persistence in time and forecasting power for both risk and returns to risk. Practical implications A dynamic asset allocation example illustrates one potential practical application for global private investors. Originality/value As of now, a risk index reflecting the overall risk of a typical multi-asset-class portfolio of global private investors does not seem to exist.
APA, Harvard, Vancouver, ISO, and other styles
25

HARYONO, NADIA ASANDIMITRA, and M. RIADHOS SOLICHIN. "Efektivitas Strategi Hedging Menggunakan Kontrak Indeks Lq45 Futures dalam Meminimalisasi Risiko Sistematis Portofolio." BISMA (Bisnis dan Manajemen) 2, no. 2 (June 6, 2018): 100. http://dx.doi.org/10.26740/bisma.v2n2.p100-106.

Full text
Abstract:
AbstractInvestor can make hedging to the systematic risk or market risk by using LQ45 index futures contract whose value comparable to the share portfolio value they have. This research had the purpose to prove used the LQ45 index futures contract in minimize the portfolio systematic risk. In this research used LQ45 index as the proxy on the portfolio have been properly diversified. Data used in this research were LQ45 index daily value data and the daily closing price of LQ45 index futures with 2004-2005 research period. Testing was conducted by comparing the portfolio return hedged variance to the portfolio return unhedged variance. Calculation of hedging effectiveness used LQ45 index futures contract as much as -9%, negative hedging effectiveness calculation due to the portfolio return hedged variance larger than portfolio return unhedged variance or, in the other words the risk in the futures market was larger than the risk in the spot market. Thus, the LQ45 index futures contract was ineffective to use as the hedging strategy in minimize the portfolio systematic risk
APA, Harvard, Vancouver, ISO, and other styles
26

Lima de Paulo, Wanderlei, Marta Ines Velazco Fontova, and Renato Canil de Souza. "An analysis of a mean-variance enhanced index tracking problem with weights constraints." Investment Management and Financial Innovations 15, no. 4 (November 19, 2018): 183–92. http://dx.doi.org/10.21511/imfi.15(4).2018.15.

Full text
Abstract:
In this paper, the authors deal with a mean-variance enhanced index tracking (EIT) problem with weights constraints. Using a shrinkage approach, they show that constructing the constrained EIT portfolio is equivalent to constructing the unconstrained EIT portfolio. This equivalence allows to study the effect of weights constraints on the covariance matrix and on the EIT portfolio. In general, the effects of weights constraints on the EIT portfolio are different from those observed in the case of global minimum variance portfolio. Finally, the authors present a numerical asset allocation example, where the S&amp;amp;P 500 index is used as the market index to be tracked using a portfolio composed of ten stocks, in which the constrained EIT portfolio shows a satisfactory performance when compared to the unconstrained case.
APA, Harvard, Vancouver, ISO, and other styles
27

Arja’i, Mulat, and Mohammad Farhan Qudratullah. "Analisis Portofolio Optimal Saham Syariah Menggunakan Multi Index Models (Periode: 04 Januari 2010 – 1 Juli 2013)." Jurnal Fourier 2, no. 2 (October 31, 2013): 105. http://dx.doi.org/10.14421/fourier.2013.22.105-111.

Full text
Abstract:
The portfolio is a combination or aggregation of two or more individual stock and concern for investors is to form the optimum portfolio and one of the ways that can be used are Multi-Index Models (MIM). This Model is a development of the Single Index Models (SIM), if on a SIM only consider one factor that affects the value of the stock, then return at MIM considers more than one factor. This study discusses the optimal portfolio analysis using Multi-Index Models with a case study on the stock of the Sharia Jakarta Islamic Index (JII) period 4 January 2010 – 1 July 2013 by using composite stock price index (IHSG), index Dow Jones Industrial Average (DJIA) and index the Hang Seng Index as a factor in MIM. The results of this research were obtained that the optimum portfolio is a portfolio that was created based on the stocks that had the highest positive return value, i.e. UNVR 41,40%, SMGR 40.66%, KLBF 11.01, and LPKR 6,93% with a value of expected return portfolio amounted to 2.55% and risk of a portfolio of 0,29%.
APA, Harvard, Vancouver, ISO, and other styles
28

Zinkhan, F. Christian, and Kossuth Mitchell. "Timberland Indexes and Portfolio Management." Southern Journal of Applied Forestry 14, no. 3 (August 1, 1990): 119–24. http://dx.doi.org/10.1093/sjaf/14.3.119.

Full text
Abstract:
Abstract This paper explores two timberland index applications: asset allocation and investment performance evaluation. The Southern Timberland Index Fund (STIF), a southern pine index fund, is adopted for use in these applications. In the asset allocation application, the mean risk of risk-return efficient portfolios containing financial assets and the STIF is discovered to be 43% less than the mean risk of the efficient portfolios containing only financial assets. Efficient portfolios contain the STIF in proportions as high as almost 30%. As far as performance is concerned, a timberland index is suggested for use as a benchmark for evaluating (1) timberland investment managers and (2) the investment performance of timberland versus other investment alternatives. Before such applications become commonplace, it is concluded that problems associated with existing timberland indexes be addressed. South. J. Appl. For. 14(3):119-124.
APA, Harvard, Vancouver, ISO, and other styles
29

Rahadjeng, Erna Retna. "PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM INDEKS LQ-45 DAN JAKARTA ISLAMIC INDEX (JII)." IQTISHODUNA 10, no. 2 (August 4, 2016): 129–34. http://dx.doi.org/10.18860/iq.v10i2.3586.

Full text
Abstract:
This research is a case study conducted in EfekIndonesia Exchange under the title ”Determinationof Optimal Portfolio shares and shares of LQ45 JII”. The purpose of this study is to identify the combinationof shares and the amount of the proportion of funds that can form the optimal portfolio and to determine thelevel of risk and return of the optimal portfolio is formed. Sampling method in this study, namely purposivesampling. The criteria in this study is that stocks are always included in the index and the index JII LQ45 overthe study period. The method used in determining the optimal portfolio is the single index model. The conclusionof this research is that there are three stocks, and four 45 LQ JII stocks that can form the optimal portfolio,which shares BNII, AALI, and UNSP for LQ 45, while for the stock is AALI JII, KLBF, TLKM, and INCO. Riskportfolio of 45 stocks LQ 1.635116% with a repayment rate of 0.639931%, while the risk portfolio of stocks JII-0.0194424% with portfolio returns of 0.191527%. Thus, the purpose and formulation of the problem unanswered.
APA, Harvard, Vancouver, ISO, and other styles
30

Wahyuni, Nyoman Candra Tri, and Ni Putu Ayu Darmayanti. "PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS IDX30 DI BEI." E-Jurnal Manajemen Universitas Udayana 8, no. 6 (March 10, 2019): 3814. http://dx.doi.org/10.24843/ejmunud.2019.v08.i06.p19.

Full text
Abstract:
Stocks are included in determination of the optimal portfolio along with the proportion of each stock and to know how much portfolio return and risk investors will get in the future. The study was conducted on the IDX30 Index on the IDX for the period August 2016 - January 2018. The population of this study used shares that were incorporated in IDX30 Index with sample used was 25 IDX30 Index stocks during the study period. The study uses the optimal portfolio model, namely the Single Index Model The results of the study show that from 25 stocks there are 8 stocks that can form an optimal portfolio with their respective proportions, consisting shares of ADRO, BBC, BBNI, BBRI, BMRI, GGRM, PWON, and UNTR. These shares provide a portfolio expected return of 3.25 percent with a portfolio risk level of 0.07 percent. Keywords: Stock Investment, Return, Risk, Optimal Portfolio, Single Index Model
APA, Harvard, Vancouver, ISO, and other styles
31

Mahadwartha, Putu Anom, and Pranata Yandi Gunawan. "PEMBENTUKAN DAN PENGUJIAN PORTFOLIO SAHAM-SAHAM OPTIMAL: PENDEKATAN SINGLE INDEX MODEL." EKUITAS (Jurnal Ekonomi dan Keuangan) 20, no. 4 (March 9, 2017): 491. http://dx.doi.org/10.24034/j25485024.y2016.v20.i4.2420.

Full text
Abstract:
Buying stock is one of the way investors do to obtain profit from their money. Every investor should consider two important things, return and risk. To minimize the risk, one can diversify their investment by creating optimal portfolio, which consists of different stocks with optimal return and certain degree of risk. The aim of this research was to establish and determine the optimization of optimal portfolio composed by LQ45 stocks over the period of February 2011 to January 2015. The research was trying to create optimal portfolio from thirty-eight non-financial companies stocks listed in LQ45 using single index model. From the research, the optimal portfolio is composed of TLKM (PT Telkom Indonesia Tbk), BMTR (PT Global Mediacom Tbk), JSMR (PT Jasa Marga Tbk), SSIA (PT. Surya Semesta Internusa Tbk), AKRA (PT AKR Tbk), MNCN (PT Media Nusantara Citra Tbk), WIKA (PT Wijaya Karya Tbk), ASII (PT Astra International Tbk), KLBF (PT Kalbe Farma Tbk), ASRI (PT Alam Sutera Realty Tbk), UNVR (PT Unilever Indonesia Tbk), ICBP (PT Indofood CBP Sukses Makmur Tbk), SMGR (PT Semen Indonesia Tbk), and only able to be used for six months. The optimal portfolio gives 0.242% returns for a week with 1.122 value of beta. Majority of the aggressive portfolio have higher return toward risk then portfolio moderate and conservative.
APA, Harvard, Vancouver, ISO, and other styles
32

Mahadwartha, Putu Anom, and Pranata Yandi Gunawan. "PEMBENTUKAN DAN PENGUJIAN PORTFOLIO SAHAM-SAHAM OPTIMAL: PENDEKATAN SINGLE INDEX MODEL." EKUITAS (Jurnal Ekonomi dan Keuangan) 20, no. 4 (September 4, 2018): 491–510. http://dx.doi.org/10.24034/j25485024.y2016.v20.i4.62.

Full text
Abstract:
Buying stock is one of the way investors do to obtain profit from their money. Every investor should consider two important things, return and risk. To minimize the risk, one can diversify their investment by creating optimal portfolio, which consists of different stocks with optimal return and certain degree of risk. The aim of this research was to establish and determine the optimization of optimal portfolio composed by LQ45 stocks over the period of February 2011 to January 2015. The research was trying to create optimal portfolio from thirty-eight non-financial companies stocks listed in LQ45 using single index model. From the research, the optimal portfolio is composed of TLKM (PT Telkom Indonesia Tbk), BMTR (PT Global Mediacom Tbk), JSMR (PT Jasa Marga Tbk), SSIA (PT. Surya Semesta Internusa Tbk), AKRA (PT AKR Tbk), MNCN (PT Media Nusantara Citra Tbk), WIKA (PT Wijaya Karya Tbk), ASII (PT Astra International Tbk), KLBF (PT Kalbe Farma Tbk), ASRI (PT Alam Sutera Realty Tbk), UNVR (PT Unilever Indonesia Tbk), ICBP (PT Indofood CBP Sukses Makmur Tbk), SMGR (PT Semen Indonesia Tbk), and only able to be used for six months. The optimal portfolio gives 0.242% returns for a week with 1.122 value of beta. Majority of the aggressive portfolio have higher return toward risk then portfolio moderate and conservative.
APA, Harvard, Vancouver, ISO, and other styles
33

Winston, Kenneth J. "The “Efficient Index” and Prediction of Portfolio Variance." Journal of Portfolio Management 19, no. 3 (April 30, 1993): 27–34. http://dx.doi.org/10.3905/jpm.1993.409446.

Full text
APA, Harvard, Vancouver, ISO, and other styles
34

Ryan, Ronald J. "Liability Index Fund: The Beta Portfolio for LDI." Journal of Index Investing 1, no. 2 (August 31, 2010): 44–48. http://dx.doi.org/10.3905/jii.2010.1.2.044.

Full text
APA, Harvard, Vancouver, ISO, and other styles
35

Van Dyk, Francois, Gary Van Vuuren, and Paul Styger. "Improved investment performance using the portfolio diversification index." Journal of Economic and Financial Sciences 5, no. 1 (April 30, 2012): 153–74. http://dx.doi.org/10.4102/jef.v5i1.311.

Full text
Abstract:
The residual variance method is the traditional method for measuring portfolio diversification relative to a market index. Problems arise, however, when the market index itself is not appropriately diversified. A diversification measurement (Portfolio Diversification Index), free from market index influences, has been recently introduced. This article explores whether this index is a robust and ‘good’ diversification measure compared with the residual variance method. South African unit trusts are diversification-ranked using the two measures and the results compared to the ranking results of several risk performance measures. Measuring relative concentration levels allows concentration risk to be effectively managed, thereby filling a gap in the Basel accords (which omit concentration risk).
APA, Harvard, Vancouver, ISO, and other styles
36

Gopalakrishnan, M. Muthu. "Optimal Portfolio Selection Using Sharpe’s Single Index Model." Indian Journal of Applied Research 4, no. 1 (October 1, 2011): 286–88. http://dx.doi.org/10.15373/2249555x/jan2014/83.

Full text
APA, Harvard, Vancouver, ISO, and other styles
37

Posch, Peter N., and Welf A. Kreiner. "Analysing digits for portfolio formation and index tracking." Journal of Asset Management 7, no. 1 (May 2006): 69–80. http://dx.doi.org/10.1057/palgrave.jam.2240203.

Full text
APA, Harvard, Vancouver, ISO, and other styles
38

He, Xue-Zhong, and Lei Shi. "Index portfolio and welfare analysis under heterogeneous beliefs." Journal of Banking & Finance 75 (February 2017): 64–79. http://dx.doi.org/10.1016/j.jbankfin.2016.11.001.

Full text
APA, Harvard, Vancouver, ISO, and other styles
39

Puji Lestari, Novi. "Simulation Of Optimal Portfolio Using Single Index Model and Markowitz Model On Lq-45 Index Shares For 2018." JBMP (Jurnal Bisnis, Manajemen dan Perbankan) 7, no. 1 (March 31, 2021): 93–140. http://dx.doi.org/10.21070/jbmp.v7i1.880.

Full text
Abstract:
The essence of portfolio formation is to reduce risk by means of diversification, namely allocating a number of funds to various investment alternatives that are negatively correlated. To select returns in a portfolio, you can use the Single Index Model and the Markowitz Model. This study was conducted with the aim of comparing the calculation of which company portfolios can provide a good rate of return with a small risk using the Single Index and Markowitz Model based on the sector of the company. So that the results of this study can provide recommendations to investors in decision making on portfolio selection. The research was conducted on companies indexed by LQ 45 on the Indonesia Stock Exchange. The research period is to use companies indexed by LQ 45 in 2018 for two periods.
APA, Harvard, Vancouver, ISO, and other styles
40

Mutmainah, Mutmainah, and Imron Mawardi. "Kinerja Portofolio Optimal Pada Saham Syariah." Jurnal Ekonomi Syariah Teori dan Terapan 4, no. 12 (December 15, 2017): 994. http://dx.doi.org/10.20473/vol4iss201712pp994-1008.

Full text
Abstract:
This study wants to describe whether an optimal portfolio which was formed in 2013-2015 it was good in 2016 compared to the performance of Jakarta Islamic Index and described as it is. The formation of the portfolio using single index model and the performance is measured by using the Sharpe index. This research is quantitative descriptive research. This research uses secondary data, carried out on the stock consistently at the Jakarta Islamic Index in January 2013-July 2016. Based on data, there were 18 shares actively and four stocks forming optimal portfolio composed of AKRA, TLKM, ICBP, and UNVR. Optimal portfolio performance in 2016 was 0,720 while the performance of the market was 0,676. With the results showed that it formed a good portfolio because the result was higher than the market. So investors or investment managers can make this portfolio as investment considerations.
APA, Harvard, Vancouver, ISO, and other styles
41

Fauziyyah, Bramadita Kunni, Alan Prahutama, and Sudarno Sudarno. "ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN MULTI INDEX MODEL (Studi Kasus: Kelompok Saham IDX30 periode Januari 2014 – Desember 2018)." Jurnal Gaussian 8, no. 1 (February 28, 2019): 58–67. http://dx.doi.org/10.14710/j.gauss.v8i1.26622.

Full text
Abstract:
Investment is the placement of a number of funds at this time in the hope of making a profit in the future. The purpose of investors investing is to get many profit by understanding that there is a possibility of losses. But, the higher the expected return then the risk also greater. The method to minimize risk is portfolio. One of the optimum portfolio method is Multi Index Model. Multi Index Model is model that use more than one index or factor that affects the return on stock. The stock in this research is 10 stocks of IDX30 period January 2014 – December 2018. Index in this research is IHSG, Hang Seng Index and DJIA. Multi Index Model has assumptions: residual variance of stock i equals , variance of index j equals , E(ci) = 0, covariance between index equals 0, covariance between the residual for stock and index equals 0 and covariance between the residual for stock equals 0. The result of this research is there are 4 stocks that fulfill the assumpions to be made as the optimum portfolio, that is GGRM (Gudang Garam Tbk) 23.67%, UNVR (Unilever Indonesia Tbk) 37.09%, BBCA (Bank Central Asia Tbk) 25.15% dan ASII (Astra International Tbk) 14.09% with a value of expected return portfolio is 1.19% and risk of portfolio is 3.79%. Keywords: Investment, Optimum Portfolio, Multi Index Model
APA, Harvard, Vancouver, ISO, and other styles
42

Wulandari, Diah, Dwi Ispriyanti, and Abdul Hoyyi. "OPTIMALISASI PORTOFOLIO SAHAM MENGGUNAKAN METODE MEAN ABSOLUTE DEVIATION DAN SINGLE INDEX MODEL PADA SAHAM INDEKS LQ-45." Jurnal Gaussian 7, no. 2 (May 30, 2018): 119–31. http://dx.doi.org/10.14710/j.gauss.v7i2.26643.

Full text
Abstract:
Stock investment is the planting of money in a securities that indicates the ownership of a company in order to provide benefits in the future. In obtaining optimal results from stock investments, investors are expected to create a series of portfolios. The portfolio will help investors in allocating some funds in different types of investments in order to achieve optimal profitability. For selection of optimal stocks representing LQ-45 Index, used 2 methods of Mean Absolute Deviation (MAD) method and Single Index Model (SIM) method. In MAD method, 5 best stocks are BBCA with weight 23%, INDF 8%, KLBF 23%, TLKM 23%, and UNVR 23%. While the SIM method of candidate portfolio obtained is AKRA with weight 15,459%, BBCA 48,193%, BBNI 5,028%,KLBF 0,258% and TLKM 31,062%. Portfolio performance meter is used by sharpe ratio. The value of sharpe ratio is 0,36754 for optimal portfolio using MAD method and 0,40782 for optimal portfolio using SIM method, this means that optimal portfolio using SIM method has better performance than MAD. Keywords: Investment, Portfolio, Index LQ-45, Mean Absolute Deviation, Single Index Model, Sharpe Ratio
APA, Harvard, Vancouver, ISO, and other styles
43

Murtini, Umi, and Prayogo Prayogo. "PERBANDINGAN KINERJA PORTOFOLIO BENTUKAN MANAJER INVESTAS! DENGAN MENGGUNAKAN MODEL INDEK TUNGGAL." Jurnal Riset Akuntansi dan Keuangan 3, no. 2 (August 1, 2007): 118. http://dx.doi.org/10.21460/jrak.2007.32.138.

Full text
Abstract:
The objective of this resurch is to qonine which is the more eficient, portfotio nade by hwestnent Managu or fu ustng Single Index Model. The data used in this resurch is monthly data, from January 2004 untit June 2005. Munnl ftad uses monthly Na Asset Yalue (NAY) data while Single Index Model uses monthly closing price data, stocb that include in the meosurement factars of ILQ-45 from January 2004 until June 2005. Elficient portfolio is decided by comparing risk and return between Mutual Fund's portfolio and Single Index's portfolio. This research eoncludes that Muual Fund's portfolio is more fficient than Single Index's poTtfolio fuause even tlnugh both are earning the samegain but Mutu,al Fund's portfolio has lower risk than Single Index's portfolio.Keywords: portfolio, return, rish Mutual Fund, Single Index Model
APA, Harvard, Vancouver, ISO, and other styles
44

Asaturov, Konstantin. "Portfolio Optimization with Risk Decomposition." Moscow University Economics Bulletin 2017, no. 5 (October 30, 2017): 61–85. http://dx.doi.org/10.38050/01300105201754.

Full text
Abstract:
The paper offers the modification of traditional portfolio optimization approach to construct the portfolio with possibility to control both systematic and specific risk (portfolio with risk decomposition). Built on modern econometric tools, the author estimates and forecasts the dynamics of alphas and betas of stocks in the frame of CAPM model, which are further applied for portfolio optimization. The closing weekly prices of 10 Australian stocks and ASX Index as the market index during the period from July 2000 to July 2016 were used. Within the sample there is no evidence of arbitrage on the Australian equity market employing neutral beta portfolio. The study confirms that portfolios with risk decomposition outperform Markowitz’s one according to various performance indicators.
APA, Harvard, Vancouver, ISO, and other styles
45

Setyowati, Ery Indah, and Husnurrosyidah Husnurrosyidah. "CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH." KEUNIS 9, no. 1 (February 27, 2021): 63. http://dx.doi.org/10.32497/keunis.v9i1.2222.

Full text
Abstract:
<em>This study aims to analyze the optimal portfolio of stocks using a single index model and the Capital Asset Pricing Model (CAPM) in making investment decisions as well as the expected profit and risk of the optimal portfolio formed on Islamic stocks in the Indonesian Sharia Stock Index (ISSI) on the Indonesia Stock Exchange. 2016-2020 period. This research design is descriptive quantitative research. The study population was all stocks that were consistently included in the Indonesian Sharia Stock Index (ISSI), amounting to 207 stocks. The number of samples of this study was 136 stocks using the Slovin method. The results show that there are 54 stocks that meet the criteria for optimal portfolio formation. The optimal portfolio of ISSI index stocks has a portfolio return rate of 21.95% and a portfolio risk of 10.49%. The portfolio performance based on the Treynor index shows that the best of the 54 stocks is PTSP shares amounting to 32.73% of the trading sector. While the results in determining investment decisions using the Capital Asset Pricing Model (CAPM) method and 136 company shares, there are 65 undervalued stocks, and 71 stocks are overvalued.</em><p> </p>
APA, Harvard, Vancouver, ISO, and other styles
46

Setiawan, Ezra Putranda. "PENGARUH PEMILIHAN INDEKS PASAR DALAM PEMBENTUKAN PORTOFOLIO MODEL INDEKS TUNGGAL." Jurnal Akuntansi dan Keuangan 8, no. 1 (May 10, 2020): 1. http://dx.doi.org/10.29103/jak.v8i1.2243.

Full text
Abstract:
Portfolio is a type of investment consists of several assets, such as stocks. Single index model is a portfolio optimization method that uses the market index value to calculate beta as a measure of asset’s performance. However, there are several market index available in Indonesia Stock Exchange. In this study, we examine and compare the performance of several market index to the portfolio’s performance that calculated using Single-Index Model. We choose several stocks that used in several market index, obtain the return data, and obtain the beta using several market index. The calculation of the optimal portfolio were repeated using 15 sets of data to obtain consistency. Based on the empirical study, we obtain that the way to choose the market index could affect the estimated beta as well as its standard error. However, it has a very small effect on the weight and the performance of the optimal portfolio.
APA, Harvard, Vancouver, ISO, and other styles
47

Muslim, Abdul. "Return and Risk Comparative Analysis in the Formation of Optimal Share Portfolio with Random Model, Markowitz Model, and Single Index Model." Majalah Ilmiah Bijak 17, no. 2 (September 30, 2020): 184–203. http://dx.doi.org/10.31334/bijak.v17i2.896.

Full text
Abstract:
This research was conducted to determine the composition of the stock portfolio formed by the Random model, the Markowitz model, and the Single Index model and which portfolio composition was optimal from the results of calculations using the Random model, the Markowitz model, and the Single Index model. The method used is a quantitative analysis using stock price data in the LQ45 Index group listed on the Indonesia Stock Exchange (IDX). In the first random process the results of calculating the expected return value for each share and obtained portfolio candidates can produce a total expected return of 0.2726 or 27.26%. The Markowitz method produces 14 shares that have a positive value, which means it enters into portfolio-forming shares, while the Single Index Model obtains diversified investments in the form of a portfolio of 6 shares
APA, Harvard, Vancouver, ISO, and other styles
48

Rizky, Bimbi Ardhana, Sudarno Sudarno, and Diah Safitri. "PENGUKURAN RISIKO KREDIT DAN PENGUKURAN KINERJA DARI PORTOFOLIO OBLIGASI." Jurnal Gaussian 7, no. 1 (February 28, 2018): 43–53. http://dx.doi.org/10.14710/j.gauss.v7i1.26634.

Full text
Abstract:
Except getting coupon as a profit, there is loss probability in bond investment that is credit risks investment. One way to measure the credit risk of a bond is to use the credit metrics method. It uses the ratings of the bond issuer company and the transition rating issued by the rating company for its calculations. Mean Variance Efficient Portfolio (MVEP) can be used to make an optimal portfolio so that risk can be obtained to a minimum. An assessment of portfolio performance is needed to increase confidence to invest. Sharpe index can measure portfolio performance based on return value of bond. In this case, study has been conduct in two bonds which are Obligasi Berkelanjutan I Bank BTN Tahap II Tahun 2013 and Obligasi Berkelanjutan I PLN Tahap I Tahun 2013 Seri B. The optimum portfolio formed results 67,96% proportion for the first bond and 32,04% for the second bond. For the result, and there is Rp239,4235(billion) of portfolio risk formed. And there is 0,212496for Sharpe index performance assessment portfolio. Keywords: Bond, portfolio, credit risk, credit metrics, Mean Variance Efficient Portfolio, Sharpe index
APA, Harvard, Vancouver, ISO, and other styles
49

Safitri, Kristika, Tarno Tarno, and Abdul Hoyyi. "PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)." Jurnal Gaussian 10, no. 2 (May 31, 2021): 230–40. http://dx.doi.org/10.14710/j.gauss.v10i2.29414.

Full text
Abstract:
Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing Model (LCAPM). CAPM is a model that connects expected return with the risk of an asset under market equilibrium condition. LCAPM is a method of new development of the CAPM model which is influenced by liquidity risk. To analyze whether the formed portfolio have a good performance or not, so portfolio perfomance assessment will be done by using The Sharpe Index. This research uses data from closing prices, transaction volume and volume total of LQ45 Index stock on period March 2016-February 2020 and then data of JCI and interest rate of central bank of the Republic of Indonesia. Based on The Sharpe Index, optimal portfolio is LCAPM model portfolio with 3 stock composition and the proportion investment are 32,39% for LPPF, 49,86% for SRIL and 17,75% for TLKM. Keywords: LQ45 Index, Portfolio, Capital Asset Pricing Model (CAPM), Liquidity Adjusted Capital Asset Pricing Model (LCAPM), The Sharpe Index.
APA, Harvard, Vancouver, ISO, and other styles
50

Agus Setyo, Tri, Abitur Asianto, and Augustina Kurniasih. "CONSTRUCTION OF OPTIMAL PORTFOLIO JAKARTA ISLAMIC STOCKS USING SINGLE INDEX MODEL TO STOCKS INVESTMENT DECISION MAKING." Dinasti International Journal of Digital Business Management 2, no. 1 (December 10, 2020): 167–81. http://dx.doi.org/10.31933/dijdbm.v2i1.644.

Full text
Abstract:
This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, namely (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E (Rp) 0.0128 is greater than the value of E (RM) 0.0003 and the value of the risk free rate is 0.0048. The value of σp 0.0438 is greater than the value of σ2M 0.0364. The value of portfolio performance with the Treynor index is 0.0091.
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the bibliographies on the topic 'Disproportionaloity index of portfolio' for other source types:
Dissertations / Theses Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography