Portofolio Efisien Model Markowitz dengan Kendala Proporsi Aset Positif dan Target Return yang Ditentukan

Abstract

Rational investors tend to diversify their asset for reducing investment risk. Markowitz portfolio model can be an investment strategy to minimize risk and maximize return of investment. This study establishes the Markowitz model portfolio with positive asset weight constraints and determined target returns. Quadratic programming is an approach used to determine the proportion of each stock in the portfolio. Therefore, 5 efficient portfolios with less risk level than individual stocks are obtained. The results of the performance measurement stated that the portfolio with asset centered proportion on BYAN had the best performance. It is due to the high expected returns and low level of risk measurement.