An application of almost marginal conditional stochastic dominance (AMCSD) on forming efficient portfolios

被引：5

作者：

Slamet, Isnandar ^{[1
]}

Mardiana, Siska ^{[1
]}

Carissa, Putri ^{[1
]}

Pratiwi, Hasih ^{[1
]}

机构：

[1] Sebelas Maret Univ, Study Program Stat, Surakarta 57126, Indonesia

来源：

ASIAN MATHEMATICAL CONFERENCE 2016 (AMC 2016) | 2017年 / 893卷

关键词：

D O I：

10.1088/1742-6596/893/1/012035

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Investors always seek an efficient portfolio which is a portfolio that has a maximum return on specific risk or minimal risk on specific return. Almost marginal conditional stochastic dominance (AMCSD) criteria can be used to form the efficient portfolio. The aim of this research is to apply the AMCSD criteria to form an efficient portfolio of bank shares listed in the LQ-45. This criteria is used when there are areas that do not meet the criteria of marginal conditional stochastic dominance (MCSD). On the other words, this criteria can be derived from quotient of areas that violate the MCSD criteria with the area that violate and not violate the MCSD criteria. Based on the data bank stocks listed on LQ-45, it can be stated that there are 38 efficient portfolios of 420 portfolios where each portfolio comprises of 4 stocks and 315 efficient portfolios of 1710 portfolios with each of portfolio has 3 stocks.

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页数：4

共 25 条

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