ALOKASI PORTOFOLIO OPTIMAL DENGAN METODE MOORE PENDROSE
DOI:
https://doi.org/10.25077/jmu.4.2.65-72.2015Abstract
Salah satu permasalahan yang terjadi ketika seorang investor memutuskan untuk berinvestasi adalah bagaimana mendapatkan return yang diharapkan tetapi dengan risiko yang minimum. Implikasi dalam meminimumkan risiko adalah dengan menggunakan metode mean variance pada model Markowitz yang melibatkan matriks kovarian. Ketika matriks kovarian menghampiri matriks singular tetapi ill-conditioned, maka alokasi portofolio optimal dapat ditentukan dengan mengganti invers matriksnya dengan invers Moore Pendrose. Metode Moore Pendrose dapat diaplikasikan untuk menentukan alokasi portofolio pada 43 aset FTSE selama periode waktu terhitung sejak 1 Januari 2008 hingga 30 Desember 2014 yang datanya dapat diakses melalui https://yahoo.finance.com. Matriks kovarian dari aset tersebut menghampiri matriks singular, maka metode Moore Pendrose memberikan solusi yang lebih baik dalam menentukan alokasi portofolio optimal.
Kata Kunci: Matriks kovarian, ill-conditioned, invers Moore Pendrose, portofolio optimal
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