基于Markowitz和单指数模型的IDX BUMN20股票在Covid-19期间的最优投资组合比较

Ricky Albert Husni, Tumpal Samosir, Siji Jati Sindhuarta
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引用次数: 0

摘要

该研究旨在比较新冠肺炎大流行期间用马科维茨模型和单指数模型形成的最优股票投资组合。本研究的目标是确定哪种模型将给出更高的预期回报或更低的投资组合风险。使用的样本是IDX BUMN20指数的成分股,这些成分股在2020年1月至2022年1月期间从未离开该指数,在主要和次要审查中从未发生过股票数量变化,也没有进行过股票分割。采用的研究方法是一种定量的横截面方法。结果表明,单指数模型既具有较高的预期收益,又具有较低的投资组合风险。这说明单指数模型所形成的最优投资组合优于马科维茨模型。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Optimal Portfolio Comparison Based on Markowitz and Single Index Model Using IDX BUMN20 Stocks during Covid-19
The study aims to compare between an optimal portfolio of stocks formed with the Markowitz model and those formed with the Single Index model during the Covid-19 pandemic. This study's goal is to determine which model will give a higher expected return or lower portfolio risk. Samples used are the stocks member of index IDX BUMN20 which never leave the index, never had changes in shares amount in major and minor reviews, also didn’t do stock split along the period of January 2020 – January 2022. The study method used is a quantitative method with a cross-sectional approach. The results show that both higher expected returns and lower portfolio risk are given by the Single Index model. This demonstrates that the optimal portfolio formed with the Single Index model is better than those formed with the Markowitz model.
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