IMPLEMENTASI EFFICIENT FRONTIER DALAM OPTIMISASI PORTOFOLIO

COVER EFFIECIENT FRONTIERRowland Bismark Fernando Pasaribu

Traditionally, risky assets and riskless asset are treated as two distinct classes. Observing the Indonesian liquid stock with very close maturity dates, we view riskless asset as its natural limit. This unifying viewpoint is not only theoretically appealing, but also practically important. The purpose of research are to recapitulate the single-period results of Markowitz and Sharpe in the context of iso-elastic utility, and formally derive the solution to the unconstrained optimization problem and examine the mathematical properties of the resulting efficient frontier and efficient portfolios. This work relieves the burden of constructing efficient frontiers in asset allocation problems. More important, removing the restriction posed by the efficient frontiers, it allows for much better asset allocation decisions than the traditional methods.

Keywords: iso-elastic utility, efficient frontier, Jensen alpha, Treynor index, Sharpe index

Silahkan download:  JEB Vol.7 No.1 Mar 2013 Implementasi Efficient Frontier Dalam Optimisasi Portofolio

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