Optimal Portfolio Models for an Inefficient Market

• 발행기관: 한국유통과학회
• 저자명: Josep GINTING Neshia Wilhelmina GINTING Leonita PUTRI Sulaeman Rahman NIDAR
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.2, 57~64쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.02.28

영문 초록

This research attempts to formulate a new mean-risk model to replace the Markowitz mean-variance model by altering the risk measurement using ARCH variance instead of the original variance. In building the portfolio, samples used are closing prices of Indonesia Composite Stock Index and Indonesia Composite Bonds Index from 2013 to 2018. This study is a qualitative study using secondary data from the Indonesia Stock Exchange and Indonesia Bonds Pricing Agency. This research found that Markowitz’s model is still superior when utilized in daily data, while the mean-ARCH model is appropriate with wider gap data like monthly observation. The Historical return has also proven to be more appropriate as a benchmark in selecting an optimal portfolio rather than a risk-free rate in an inefficient market. Therefore Mean-ARCH is more appropriate when utilized under data that have a wider gap between the period. The research findings show that the portfolio combination produced is inefficient due to the market inefficiency indicated by the meager return of the stock, while bears notable standard deviation. Therefore, the researcher of this study proposed to replace the risk-free rate as a benchmark with the historical return. The Historical return proved to be more realistic than the risk-free rate in inefficient market conditions.

목차

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Research Method

Ⅳ. Results

Ⅴ. Conclusions

키워드

Modern Portfolio Theory Mean-ARCH Model Optimal Portfolio Inefficient Market Weighted Historical Return