Universitas Bhayangkara Jakarta Raya

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Machdar, Nera Marinda (2024) Stock Selection using Semi-variance and Beta to construct Portfolio and Effect Macro-variable on Portfolio Return. Turkish Journal of Computer and Mathematics Education (TURCOMAT), 15 (1). pp. 14-25. ISSN 1309-4653

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Abstract

This research has aims to construct portfolio by varying method and using semi-variance and Beta for selection stocks. This research found 28 stocks to become member portfolio. Equal Weighted, Market Capitalization Weighted, Markowitz Method and Elton Gruber is used to construct portfolio. This research found that the efficient frontier similar to Markowitz Method. Roy Criterion found the portfolio return varying from 2.2% to 9.65% but Kataoka Criterion found the portfolio return varying from 5.4% to 11.12%. This research found that Elton Gruber has the highest portfolio return compared to others portfolio. There is no difference of average return for four portfolios. Market returns significant affect to all portfolio return but the interest rate significant affect portfolio returns for equal weighted portfolio and Elton Gruber Method. Keywords: Semi-variance, Portfolio Return, Quadratic Programming, Portfolio Risk, Markowitz Method, Safety-First, and Excess Return JEL Classification: C13, C51, C61, G1, M21

Item Type:	Article
Subjects:	Ilmu Sosial > Ekonomi Manajemen
Divisions:	Fakultas Ekonomi dan Bisnis > Doktoral Ilmu Manajemen
Depositing User:	Prof Nera Marinda Machdar
Date Deposited:	01 Apr 2024 02:00
Last Modified:	01 Apr 2024 02:00
URI:	http://repository.ubharajaya.ac.id/id/eprint/28492

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