Penerapan model multivariate Arma-Garch untuk optimisasi portofolio = Application of multivariate Arma-Garch model for portfolio optimization

Margareta, Margareta (2014) Penerapan model multivariate Arma-Garch untuk optimisasi portofolio = Application of multivariate Arma-Garch model for portfolio optimization. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Dewasa ini, masyarakat tidak lagi hanya berforkus pada pekerjaan saja tetapi juga mulai fokus pada investasi sebagai penghasilan sampingan. Ada banyak sekali pilihan instrumen investasi dan investor dapat menggabungkan beberapa jenis aset untuk mengurangi resiko sehingga diperlukan pembentukan portofolio. Agar return portofolio lebih maksimal dan resiko portofolio dapat diminalkan, maka diperlukan optimisasi portofolio. Salah satu metode untuk mengoptimisasi portofolio adalah dengan menerapkan model multivariate ARMA-GARCH untuk mendapatkan estimasi conditional mean dan conditional variance-covariance yang nantinya akan dimasukkan sebagai input dalam mencari alokasi aset yang optimal yang dapat memaksimalkan return dan meminimalkan resiko. Selain membentuk portofolio multivariate ARMA-GARCH, akan dibentuk juga naive portofolio sebagai perbandingan performa portofolio. / Nowadays, people are no longer only focusing on their job but also started to focus on investment as their side income. There are so many choices of investmet instruments and investor can combine several types of assets in order to reduce the risk and that is why they need to construct investment portfolio. In order to maximize portfolio return and minimize portfolio risk, portfolio optimization is needed. One method to optimize the portfolio is to apply multivariate ARMA-GARCH model to obtain the estimation of conditional mean and conditional variance - covariance which will be used as an input to find the optimal asset allocation that can maximize the portfolio return and minimize portfolio risk. Naive portfolio will also be constructed as a portofolio performance comparison with the multivariate ARMA-GARCH portfolio.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Margareta, MargaretaNIM11220100005UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorSenobua, Yosef OktavianusNIDN9990299867yosef.senobua@lecturer.uph.edu
Thesis advisorSaputra, Kie Van IvankyNIDN0401038203kie.saputra@uph.edu
Additional Information: SK 112-10 MAR p
Uncontrolled Keywords: ARMA; GARCH; modern portfolio theory; optimisasi portofolio
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Mrs Veronica Fitri Astuti
Date Deposited: 12 May 2021 14:17
Last Modified: 02 Nov 2023 06:35
URI: http://repository.uph.edu/id/eprint/18326

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