Abstract
Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.
Highlights
Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital
a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return
The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the MeanSemivariance method
Summary
Selanjutnya, metode mean absolute deviation yang dikembangkan oleh Konno dan Yamazaki (1991) mengukur risiko pada portofolio menggunakan nilai MAD. Selanjutnya, Ramadhan (2014) menyusun portofolio optimal pada indeks saham BISNIS-27 menggunakan metode mean variance, downside deviation dan mean absolute deviation. Mengingat stylized fact return tidak berdistribusi normal dan saham indeks LQ45 memiliki likuiditas dan kapitalisasi tinggi maka tujuan dari penelitian ini adalah menyusun portofolio optimal pada saham-saham LQ45 dengan metode mean-semivariance dan mean absolute deviation. Metode mean absolute deviation merupakan metode yang menggunakan simpangan mutlak realized return dan expected return. Sebagai langkah pertama pembentukan portofolio optimal Metode mean absolute deviation adalah menentukan return minimal yang diperoleh dari nilai expected return terkecil positif. Pemrograman linear portofolio metode mean absolute deviation dengan fungsi tujuan minimalkan risiko (Konno & Yamazaki, 1991):. Metode mean-semivariance merupakan metode yang menggunakan matriks semivarians-semikovarians dalam menghitung risiko. Return portofolio metode mean-semivariance dihitung dengan persamaan (8) dan risiko portofolio dengan persamaan (Hartono, 2017):
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