Analysis of portfolio optimization with lot of stocks amount constraint: case study index LQ45

4th International Conference on Operational Research

Chin, Liem^1 ; Chendra, Erwinna^1 ; Sukmana, Agus^1

Mathematics Department, Parahyangan Catholic University, Bandung, Indonesia^1

关键词: Indonesia;    Markowitz;    Mean variance model;    Microsoft excel;    Minimum risks;    Portfolio optimization;    Stock market capitalization;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/300/1/012004/pdf
DOI  :  10.1088/1757-899X/300/1/012004

来源: IOP

【 摘 要 】

To form an optimum portfolio (in the sense of minimizing risk and / or maximizing return), the commonly used model is the mean-variance model of Markowitz. However, there is no amount of lots of stocks constraint. And, retail investors in Indonesia cannot do short selling. So, in this study we will develop an existing model by adding an amount of lot of stocks and short-selling constraints to get the minimum risk of portfolio with and without any target return. We will analyse the stocks listed in the LQ45 index based on the stock market capitalization. To perform this analysis, we will use Solver that available in Microsoft Excel.