Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market
In an investment portfolio, investors certainly choose a portfolio according to their preferences for return and risk. The problem is the allocation of investment weights in forming a portfolio, if the risk is in the form of Entropic-Value-at-Risk (EVaR). The purpose of this study is to determine th...
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Mathematics Department UIN Maulana Malik Ibrahim Malang
2025-03-01
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| Series: | Cauchy: Jurnal Matematika Murni dan Aplikasi |
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| Online Access: | https://ejournal.uin-malang.ac.id/index.php/Math/article/view/30794 |
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| author | Nurnisaa binti Abdullah Suhaimi Herlina Napitupulu Sukono Sukono |
| author_facet | Nurnisaa binti Abdullah Suhaimi Herlina Napitupulu Sukono Sukono |
| author_sort | Nurnisaa binti Abdullah Suhaimi |
| collection | DOAJ |
| description | In an investment portfolio, investors certainly choose a portfolio according to their preferences for return and risk. The problem is the allocation of investment weights in forming a portfolio, if the risk is in the form of Entropic-Value-at-Risk (EVaR). The purpose of this study is to determine the allocation of investment weights that maximize returns and minimize portfolio risk. The method used in this study is through investment portfolio optimization in the form of Mean-EVaR. The stages carried out are selecting the ten best stocks in the LQ45 index, estimating and testing the suitability of the return distribution, determining expectations, variance and covariance between stock returns, and optimizing the allocation of investment portfolio weights using the Mean-EVaR model. Based on the results of the analysis, it was obtained that the optimal portfolio weight allocation is 0.01073, 0.23284, 0.04617, 0.08052, 0.00470, 0.09021, 0.14669, 0.00427, 0.22672 and 0.15715, to be allocated successively to the stocks ACES, BBRI, EXCEL, ITMG, PTBA, ADRO, BBTN, GGRM, KLBF and AKRA. In this optimal portfolio, the average portfolio return is obtained at 0.00055 with an EVaR risk of 0.01632. It is hoped that the results of this study can provide a significant contribution to investors in making investments, especially in the ten stocks analyzed. |
| format | Article |
| id | doaj-art-273c276e551f4129bc99f54ceafcdc6a |
| institution | Kabale University |
| issn | 2086-0382 2477-3344 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | Mathematics Department UIN Maulana Malik Ibrahim Malang |
| record_format | Article |
| series | Cauchy: Jurnal Matematika Murni dan Aplikasi |
| spelling | doaj-art-273c276e551f4129bc99f54ceafcdc6a2025-08-20T03:48:30ZengMathematics Department UIN Maulana Malik Ibrahim MalangCauchy: Jurnal Matematika Murni dan Aplikasi2086-03822477-33442025-03-0110122424910.18860/cauchy.v10i1.307948656Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital MarketNurnisaa binti Abdullah Suhaimi0Herlina Napitupulu1Sukono Sukono2Magister Program of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, IndonesiaDepartment of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, IndonesiaDepartment of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, IndonesiaIn an investment portfolio, investors certainly choose a portfolio according to their preferences for return and risk. The problem is the allocation of investment weights in forming a portfolio, if the risk is in the form of Entropic-Value-at-Risk (EVaR). The purpose of this study is to determine the allocation of investment weights that maximize returns and minimize portfolio risk. The method used in this study is through investment portfolio optimization in the form of Mean-EVaR. The stages carried out are selecting the ten best stocks in the LQ45 index, estimating and testing the suitability of the return distribution, determining expectations, variance and covariance between stock returns, and optimizing the allocation of investment portfolio weights using the Mean-EVaR model. Based on the results of the analysis, it was obtained that the optimal portfolio weight allocation is 0.01073, 0.23284, 0.04617, 0.08052, 0.00470, 0.09021, 0.14669, 0.00427, 0.22672 and 0.15715, to be allocated successively to the stocks ACES, BBRI, EXCEL, ITMG, PTBA, ADRO, BBTN, GGRM, KLBF and AKRA. In this optimal portfolio, the average portfolio return is obtained at 0.00055 with an EVaR risk of 0.01632. It is hoped that the results of this study can provide a significant contribution to investors in making investments, especially in the ten stocks analyzed.https://ejournal.uin-malang.ac.id/index.php/Math/article/view/30794evarinvestmentoptimizationportofolioreturn |
| spellingShingle | Nurnisaa binti Abdullah Suhaimi Herlina Napitupulu Sukono Sukono Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market Cauchy: Jurnal Matematika Murni dan Aplikasi evar investment optimization portofolio return |
| title | Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market |
| title_full | Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market |
| title_fullStr | Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market |
| title_full_unstemmed | Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market |
| title_short | Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market |
| title_sort | investment portfolio optimization of mean entropic var model on the top ten stocks from lq45 in the indonesian capital market |
| topic | evar investment optimization portofolio return |
| url | https://ejournal.uin-malang.ac.id/index.php/Math/article/view/30794 |
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