均值-方差和单指数模型组合优化:以印尼股市为例

IF 0.8 Q4 BUSINESS, FINANCE

Asian Journal of Business and Accounting Pub Date : 2022-12-31 DOI:10.22452/ajba.vol15no2.3

A. Yusup

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引用次数: 0

摘要

研究目的:本研究的目的是比较均值方差模型和单指标模型在创建最优投资组合中的表现。设计/方法/方法:本研究利用2012年1月1日至2019年12月31日期间LQ45指数、IDX综合指数和印尼银行7天(逆)回购利率38家上市公司的每日股票收益数据，采用均值方差和单指数模型构建最优投资组合。用夏普比率对两种模型进行比较。研究发现:结果表明，单指数模型在印尼证券交易所(IDX)中占主导地位，优于均值方差模型。BBCA在均值-方差组合和单指数组合中所占比例最高。理论贡献/独创性:本研究比较印尼股市两种流行的投资组合模型。从业者/政策启示:本研究帮助投资者使用更适合IDX的模型创建最佳投资组合。研究限制/启示:本研究在不区分风险偏好(即风险厌恶、风险适度和风险承担者)的情况下创建了最优投资组合。此外，本研究仅使用日收益数据，未与周、月数据进行比较。

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Mean-Variance and Single-Index Model Portfolio Optimisation:Case in the Indonesian Stock Market

Manuscript type: Research paper Research aims: This study aims to compare the performance of meanvariance and single-index models in creating the optimal portfolio. Design/Methodology/Approach: This study creates optimal portfolios using the mean-variance and single-index models with daily stock return data of 38 companies listed on the LQ45 index, IDX Composite index and Bank Indonesia’s 7-Day (Reverse) Repo Rate from January 1, 2012 to December 31, 2019. The two models are compared using the Sharpe ratio. Research findings: The result shows that the single-index model dominates the Indonesian Stock Exchange (IDX), more so than the meanvariance model. BBCA has the highest proportion for both mean-variance and single-index portfolios. Theoretical contribution/Originality: This study compares two popular portfolio models in the Indonesian stock market. Practitioner/Policy implication: This study helps investors to create optimal portfolios using a model that is more suited to the IDX. Research limitation/Implication: This study creates the optimal portfolio without differentiating risk preferences (i.e., risk averse, risk moderate and risk taker). In addition, this research only uses daily return data and does not compare it with weekly and monthly data.

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来源期刊

Asian Journal of Business and Accounting BUSINESS, FINANCE-

CiteScore

2.00

自引率

11.10%

发文量

期刊介绍： An academic journal that aims to advance knowledge in the business and accounting disciplines, to narrow the gap between theory and practice, and to set direction for policy initiatives in Asia. Welcome to the Asian Journal of Business and Accounting (AJBA). AJBA is an international refereed journal, published biannually (30th June and 30th December) by the Faculty of Business and Accountancy, University of Malaya, Malaysia. AJBA aims to publish scholarly business researches that are relevant to Malaysia and the Asian region. It intends to highlight the practical implications in promoting better business decision making process and the formulation of public policy in Asia. This journal publishes theoretical, conceptual, and empirical papers within the broad areas of business and accounting in Asia. The AJBA covers a broad spectrum of the business and accounting disciplines. A suggestive (though not necessarily comprehensive) list of areas that would be included in this journal are: general management, strategic management, human resource management, organizational behaviour, labour and industrial relations, international business management, business communication, entrepreneurship, leadership, management science, operations management, production management, supply chain management, marketing management, brand management, consumer behaviour, information management, e-marketing, e-commerce, quality management, retailing, service marketing, hospitality management, hotel and tourism management, asset pricing, capital and money markets, corporate finance, derivatives markets, finance and banking, financial economics, etc.