Comparison of quadratic investment portfolio on five stocks of mining companies with risk free assets and without risk free assets

1Citations
Citations of this article
6Readers
Mendeley users who have this article in their library.

This article is free to access.

Abstract

All types of investment have different risks. One way to avoid risk is to diversify the capital fund into several investment assets. The problem is determining the optimal differential weight for each asset. The purpose of this study is to determine the weight of the investment portfolio with risk free assets and without risk free assets. The method used in this study is a quadratic investment portfolio model. The optimization is done by using the Lagrangian Multiplier method. The assets analyzed used several mining stocks and deposits with an interest rate according to the Indonesian Bank rate. The expected results from this study are to obtain the optimal weight allocated to each asset in ordering an investment portfolio. Based on the results of the optimization, it can be used as a consideration for investors in making investments.

Cite

CITATION STYLE

APA

Pandiangan, N., Sukono, & Hasbullah, E. S. (2021). Comparison of quadratic investment portfolio on five stocks of mining companies with risk free assets and without risk free assets. In Journal of Physics: Conference Series (Vol. 1722). IOP Publishing Ltd. https://doi.org/10.1088/1742-6596/1722/1/012069

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free