Pembentukan Portofolio Optimal dengan Menggunakan Mean Absolute Deviation dan Conditional Mean Variance

  • Eka Nur Vanti UIN Sunan Kalijaga
  • Epha Diana Supandi UIN Sunan Kalijaga
Keywords: Autoregressive, Conditional Mean Variance, GARCH, Mean Absolute Deviation, Portfolio, Sortino index

Abstract

Penelitian ini membahas tentang pembentukan portofolio optimal menggunakan model Mean Absolute Deviation (MAD) dan model Conditional Mean Variance (CMV). Pada model MAD risiko portofolio diukur menggunakan rata–rata deviasi standar sehingga portofolio optimal dapat diperoleh dengan menggunakan pemrograman linear. Sedangkan portofolio model CMV, rata–rata return diestimasi menggunakan model Autoregressive (AR) dan risiko (variansi) diestimasi menggunakan model GARCH. Selanjutnya kedua model portofolio diterapkan dalam membentuk portofolio optimal pada saham–saham yang terdaftar dalam Indeks Saham Syariah Indonesia (ISSI) periode 4 Juli 2016 sampai 4 Juli 2018. Kinerja kedua portofolio dianalisis menggunakan indeks Sortino. Hasilnya menunjukan bahwa kinerja portofolio model CMV lebih baik dibandingkan model portofolio MAD.

[This study discusses the formation of optimal portfolios using the Mean Absolute Deviation (MAD) model and the Conditional Mean Variance (CMV) model. The MAD portfolio model measures portfolio risk by using average standard deviations so that optimal portfolios solved by using linear programming. Meanwhile the CMV portfolio model, the average return estimated by using the Autoregressive (AR) model and the risk (variance) estimated by using the GARCH model. Furthermore, both portfolio models applied in forming optimal portfolios for stocks listed in the Indonesian Syariah Stock Index (ISSI) for the period 4 July 2016 to 4 July 2018. The performance of both portfolios analyzed by using the Sortino index. The results show that the portfolio performance of the CMV model is better than MAD portfolio model.]

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Published
2020-04-30
Section
Articles