Comparison of Portfolio Mean-Variance Method with the Mean-Variance-Skewness-Kurtosis Method in Indonesia Stocks

Dina Agustina; Devni Prima  Sari; Rara Sandhy  Winanda; Muhammad Rashif  Hilmi; Dina  Fakhriyana

doi:10.24036/eksakta/vol23-iss02/316

EKSAKTA: Berkala Ilmiah Bidang MIPA

Open Access

Comparison of Portfolio Mean-Variance Method with the Mean-Variance-Skewness-Kurtosis Method in Indonesia Stocks

Dina Agustina ¹

, Devni Prima Sari ¹

, Rara Sandhy Winanda ¹

, Muhammad Rashif Hilmi ²

, Dina Fakhriyana ³

¹ Department of Mathematics, Faculty of Mathematics and Natural Science, Universitas Negeri Padang, Padang, Indonesia

² Dapartment Islamic Community Development, Faculty of Daâ€™wa and Communication Sunan Kalijaga State Islamic University in Yogyakarta, Yogyakarta, Indonesia

³ Tadris Matematika, Faculty of Tarbiah, IAIN Kudus, Central Jawa, Indonesia

Published 2022-06-30

Vol. 23 No. 02 (2022) PAGES 88-97

DOI 10.24036/eksakta/vol23-iss02/316

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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.

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Comparison of Portfolio Mean-Variance Method with the Mean-Variance-Skewness-Kurtosis Method in Indonesia Stocks

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Comparison of Portfolio Mean-Variance Method with the Mean-Variance-Skewness-Kurtosis Method in Indonesia Stocks

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