Abstract
In this paper, we compare the optimal portfolio weight of mean-variance (MV) method with mean-variance-skewness-kurtosis (MVSK) method. MV is a method to get weight on a portfolio. This method can be developed into the method of MVSK with attention to the higher-order moment of return distribution; skewness and kurtosis. In determining the weight of portfolio is also important to consider the skewness and kurtosis of return distribution. This method of considering the aspect of skewness and kurtosis is called the MVSK method with the aim of maximizing the level of return and skewness and minimizing the risks and exceeding of kurtosis. The result indicate that the optimal portfolio return of all methods is MVSK method with minimize variance priority.
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