Optimization of investment portfolio weight of stocks affected by market index

被引：0

作者：

Azizah, E. ^{[1
]}

Rusyaman, E. ^{[1
]}

Supian, S. ^{[1
]}

机构：

[1] Padjadjaran State Univ, Dept Math, Bandung, Indonesia

来源：

INDONESIAN OPERATIONS RESEARCH ASSOCIATION (IORA) - INTERNATIONAL CONFERENCE ON OPERATIONS RESEARCH 2016 | 2017年 / 166卷

关键词：

D O I：

10.1088/1757-899X/166/1/012008

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Stock price assessment, selection of optimum combination, and measure the risk of a portfolio investment is one important issue for investors. In this paper single index model used for the assessment of the stock price, and formulation optimization model developed using Lagrange multiplier technique to determine the proportion of assets to be invested. The level of risk is estimated by using variance. These models are used to analyse the stock price data Lippo Bank and Bumi Putera.

引用

页数：7

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