Mean-variance portfolio optimization by using time series approaches based on logarithmic utility function

The Indonesian Operations Research Association (IORA) - International Conference on Operations Research 2016

Soeryana, E.^1 ; Fadhlina, N.^2 ; Sukono^1 ; Rusyaman, E.^1 ; Supian, S.^1

Department of Mathematics, Universitas Padjadjaran, Indonesia^1

Department of Mathematics, FST, Universiti Malaysia Terengganu, Malaysia^2

关键词: Auto-regressive;    Autoregressive moving average;    Heteroscedastic;    Investment portfolio;    Lagrangian multipliers;    Logarithmic utility;    Mean-variance portfolio optimization;    Optimal composition;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/166/1/012003/pdf
DOI  :  10.1088/1757-899X/166/1/012003

来源: IOP

【 摘 要 】

Investments in stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. For 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 based on logarithmic utility function. Non constant mean analysed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analysed 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 analyse some Islamic stocks in Indonesia. The expected result is to get the proportion of investment in each Islamic stock analysed.