Abstract
Stock portfolio optimization is allocating stock assets from investors to manage return and risk. Investors need a high return portfolio with a given level of risk, and portfolio optimization can help to find the feasible one. The data used for this problem are stocks listed on the Jakarta Islamic Index (JII). The portfolio optimization methods are applied Mean-Absolute Deviation (MAD) and Entropy. MAD is used because it can solve the portfolio optimization problem for the nonnormal distribution of data. Meanwhile, entropy is used because it can better diversify the weight of stocks in the MAD portfolio. Experiment results in this study show that MAD-Entropy and Equal Weight portfolio outperform the MAD portfolio in Sharpe Ratio and Performance Ratio. MAD only excels in one period, influenced by a stock that has a fantastic return in a certain period.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal on Information and Communication Technology (IJoICT)
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
