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Submitted
Apr 1, 2022
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Jun 1, 2022
Published
Jun 30, 2022
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Abstract

In this paper, we compare the optimal portfolio weight of mean-variance (MV) method with mean-variance-skewness-kurtosis (MVSK) method. MV is a method to get weight on a portfolio. This method can be developed into the method of MVSK with attention to the higher-order moment of return distribution; skewness and kurtosis. In determining the weight of portfolio is also important to consider the skewness and kurtosis of return distribution. This method of considering the aspect of skewness and kurtosis is called the MVSK method with the aim of maximizing the level of return and skewness and minimizing the risks and exceeding of kurtosis. The result indicate that the optimal portfolio return of all methods is MVSK method with minimize variance priority.

Keywords

mean, variance, skewness, kurtosis, portfolio

Article Details

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This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite
1.
Agustina D, Sari DP, Winanda RS, Hilmi MR, Fakhriyana D. Comparison of Portfolio Mean-Variance Method with the Mean-Variance-Skewness-Kurtosis Method in Indonesia Stocks. EKSAKTA [Internet]. 2022Jun.30 [cited 2024Apr.20];23(02):88-97. Available from: https://eksakta.ppj.unp.ac.id/index.php/eksakta/article/view/316

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