6th Annual International Conference on Industrial Engineering and Operations Management

Mean-Variance Portfolio Optimization on Some Stocks By Using Non Constant Mean and Volatility Models Approaches

Endang Soeryana Hasbullah
Publisher: IEOM Society International
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Track: Computers and Computing

Investment in Islamic stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. To minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to stocks by using mean and volatility is not constant approaches. Non constant mean analyzed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analyzed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique. As a numerical illustration, the method is used to analyze some Islamic stocks in Indonesia. The expected result is to get the proportion of investment in each Islamic stock analyzed.

Published in: 6th Annual International Conference on Industrial Engineering and Operations Management, Kuala Lumpur, Malaysia

Publisher: IEOM Society International
Date of Conference: March 8-10, 2016

ISBN: 978-0-9855497-4-9
ISSN/E-ISSN: 2169-8767