Hermiyetti, Hermiyetti and Utomo, Dito TriUtomo and Usmar, Usmar (2019) ANALYSIS OF COMPANY STOCK PORTFOLIO PSEI INDEX USING MARKOWITZ METHOD. International Journal of Applied Science, 1 (3). pp. 71-92. ISSN 2339-4034
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Abstract
The purpose of this research is to analyze company stock portfolio PSEi (Philippine)Index to reach optimal return and mitigate risk using the Markowitz method. This research is for measuring portfolio performance with four main portfolio measurements such as Treynor, Sharpe, and Jensen measurement, and Information Ratio. Population sample used for research PSEi company from 2014 to 2018. The purposive sampling method is used to pick the sample.The portfolio results are merged with risk and free-risk assets. Stock Portfolio Result on PSEicompany using Markowitz methods as follows Expected Return 16,46%, Standard Deviation 11,48%, Sharpe Ratio 1,12, Result for Treynor 2,03, Jensen 0,12 and 1,05, Information for Free Risk Level 3,57% and Beta 0,06. Risk and Free asset allocation of 98% and 2%.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Markowitz Methods, PSEi, Philippine Stock Exchange (PSE). |
| Subjects: | Finance > Finance Management > Corporation Finance |
| Divisions: | Fakultas Ekonomi dan Ilmu Sosial > Program Studi Akuntansi |
| Depositing User: | Users 2 not found. |
| Date Deposited: | 30 Mar 2023 01:41 |
| Last Modified: | 30 Mar 2023 02:11 |
| URI: | https://repository.bakrie.ac.id/id/eprint/7697 |
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