PORTOFOLIO ENVELOPE PADA ASET FINANSIAL
DOI:
https://doi.org/10.25077/jmu.3.2.80-87.2014Abstract
Salah satu permasalahan yang terjadi pada aset finansial adalah menentukanportofolio untuk mendapatkan return yang telah ditargetkan tetapi dengan resiko yang
minimum. Himpunan dari portofolio-portofolio disebut sebagai envelope dari aset-aset.
Dalam studi ini membahas solusi untuk mendapatkan portofolio envelope dan efficient
frontier pada suatu aset finansial dengan menggunakan geometri invarian yaitu proyeksi
ortogonal dalam ruang Euclidean khususnya proses Gram-Schmidt. Sehingga diperoleh
hubungan mena-variance untuk portofolio envelope. Pada paper ini kita memberikan
sebuah ilustrasi dengan empat aset finansial pada perusahaan Bank Negara Indonesia,
XL Axiata, Agung Podomoro dan Astra Internasional yang mana data asetnya diunduh
pada tanggal 12 April 2014 di www..yahoofinance.com.
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