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5. ANALYSIS OF PORTFOLIO OPTIMIZATION:EVIDENCE FROM INDONESIAN STOCK MARKET

ANALYSIS OF PORTFOLIO OPTIMIZATION:EVIDENCE FROM INDONESIAN STOCK MARKET

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：liuwu521

【摘 要】

：

　　Markowitz mean-variance portfolio optimization theory is implemented for all stocks listed in Indonesian stock market for the last five years.The analysis a

【作 者】

：

NugrahaniEndar; 

【机 构】

：

Bogor Agricultural Univ.

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Markowitz mean-variance portfolio optimization theory is implemented for all stocks listed in Indonesian stock market for the last five years.The analysis also presents Sharpe's diagonal model with the assumption that the market index is the only common factor with reference to which stocks varied.

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