Median-Variance Method with COMedians for Portfolio Optimization

Yunita Wulan Sari

Abstract

Portfolio, a collection of several stocks, is one way to minimize the investment risk. For this purpose, Markowitz has introduced the Mean-Variance method to obtain an optimal portfolio. The normality assumption is absolutely necessary in this method. In addition, if a portfolio is set up for many stocks with a limited amount of data, for example stocks that have just been offered to the general public on an Initial Public Offering (IPO), the assumption will be difficult to fulfill. The Median-Variance method is an alternative to the Mean-Variance method to overcome that problem. In this study, we will compare the Mean-Variance method and the Median-Variance method with COMedians as a returns covariance measure to create an optimal portfolio of several stocks in Indonesia.

Keywords: portfolio optimization; mean-variance; median-variance; COMedians

Keywords

Eksakta; MIPA; Statistika

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Eksakta: Journal of Sciences and Data Analysis

E-ISSN 2720-9326 and P-ISSN 2716-0459
Published by: 
Faculty of Mathematics and Natural Sciences
Universitas Islam Indonesia, Yogyakarta

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