A. Manurung, Nera Marinda Machdar, Jadongan Sijabat, Amran Manurung
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The Construction of a Portfolio Using Varying Methods and the Effects of Variables on Portfolio Return
This research aims to explore for portfolio construction using vary method which is Markowitz, Elton Gruber, Equal Weighted, Market Cap, and Safety-First Criterion (Roy and Kataoka Criterion). Data was used monthly data of Kompas 100 Index for period of 2015 to June 2023. The result found that 53 stocks for using Elton Gruber, Equal weighted, market capitalization, Markowitz Method. There is no difference average return for portfolio of Elton Gruber, Equal weighted, market capitalization, Markowitz Method, The research's findings are as follows Roy and Kataoka as representative Safety-first criterion could be used to construct portfolio with determining achievement of minimum return of 0.797% per month with risk premium of 0.2% . Portfolio return using Roy criterion is vary from 3.973% to 13.397% per month and Kataoka criterion has return vary from 8.861% to 15.48% for equal weighted. Then the equal weighted portfolio return is highest than market capitalization weighted Portfolio return. Elton Gruber method also used to construct portfolio, then this method has highest cumulative return compared to others methods. The Market shock affected all portfolio return and Interest rate has affected portfolio return for equal weighted and Elton Gruber Method. Pandemic Era affect portfolio return for Market Capitalization Weighted portfolio.
期刊介绍:
International Journal of Economics and Financial Issues (IJEFI) is the international academic journal, and is a double-blind, peer-reviewed academic journal publishing high quality conceptual and measure development articles in the areas of economics, finance and related disciplines. The journal has a worldwide audience. The journal''s goal is to stimulate the development of economics, finance and related disciplines theory worldwide by publishing interesting articles in a highly readable format. The journal is published Bimonthly (6 issues per year) and covers a wide variety of topics including (but not limited to): Macroeconomcis International Economics Econometrics Business Economics Growth and Development Regional Economics Tourism Economics International Trade Finance International Finance Macroeconomic Aspects of Finance General Financial Markets Financial Institutions Behavioral Finance Public Finance Asset Pricing Financial Management Options and Futures Taxation, Subsidies and Revenue Corporate Finance and Governance Money and Banking Markets and Institutions of Emerging Markets Public Economics and Public Policy Financial Economics Applied Financial Econometrics Financial Risk Analysis Risk Management Portfolio Management Financial Econometrics.