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Applying Portfolio Selection: A Case of Indonesia Stock Exchange

Praptiningsih, Maria (2012) Applying Portfolio Selection: A Case of Indonesia Stock Exchange. Jurnal Manajemen dan Kewirausahaan, 14 (1). pp. 13-22. ISSN 1411-1438

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    Abstract

    This study has three objectives. First, we investigate whether Modern Portfolio Theory can be applied on the financial decisions that made by investors or individual in order to increase their wealth through investment activities. Second, we examine the real behavior of each asset in terms of capital assets pricing models. Third, we determine whether our portfolio is the best model to produce a higher return in a given level of risk or a lowest risk in a particular level of return. It is found that three different stocks listed in the Indonesia Stock Exchange have a positive relationship with market returns. The reactions of the investor regarding these stocks are not influenced by each other. Lastly, the minimum variance portfolio (MVP) point which represents the single portfolio with the lowest possible level of standard deviation, occurs when the expected return of portfolio is approximately 2.2 percent at a standard deviation of 8.8 percent.

    Item Type: Article
    Uncontrolled Keywords: asset allocation, modern portfolio theory, portfolio selection
    Subjects: H Social Sciences > HF Commerce
    Divisions: Faculty of Economic > Business Management Program
    Depositing User: Admin
    Date Deposited: 20 Sep 2012 18:59
    Last Modified: 20 Sep 2012 18:59
    URI: http://repository.petra.ac.id/id/eprint/15820

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