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Portfolio optimization is a way / method used to obtain the optimal portfolio. Optimal portfolio is a portfolio that has the highest expected return with low risk of loss. Currently, many methods have been used to obtain the optimal portfolio, including using present value analysis, mean-variance an...

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Main Author: PURNAMASARI (NIM : 10106040); Pembimbing : Prof. Dr. Roberd Saragih, WULAN
Format: Final Project
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/17595
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:17595
spelling id-itb.:175952017-09-27T11:43:10Z#TITLE_ALTERNATIVE# PURNAMASARI (NIM : 10106040); Pembimbing : Prof. Dr. Roberd Saragih, WULAN Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/17595 Portfolio optimization is a way / method used to obtain the optimal portfolio. Optimal portfolio is a portfolio that has the highest expected return with low risk of loss. Currently, many methods have been used to obtain the optimal portfolio, including using present value analysis, mean-variance analysis, a variety of optimal control and a lot of simulation. In this final project, we will discuss two methods to obtain the optimal portfolio. In the first method, the optimal portfolio will be determined without the use of control is by using the model random walk. While the second method, the optimal portfolio will be determined by applying a stochastic optimal control. The proportion that produced the optimal portfolio will be determined by two methods. Furthermore, the optimal portfolio obtained from the two models are simulated to show that the portfolio obtained from the model is the optimal portfolio. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description Portfolio optimization is a way / method used to obtain the optimal portfolio. Optimal portfolio is a portfolio that has the highest expected return with low risk of loss. Currently, many methods have been used to obtain the optimal portfolio, including using present value analysis, mean-variance analysis, a variety of optimal control and a lot of simulation. In this final project, we will discuss two methods to obtain the optimal portfolio. In the first method, the optimal portfolio will be determined without the use of control is by using the model random walk. While the second method, the optimal portfolio will be determined by applying a stochastic optimal control. The proportion that produced the optimal portfolio will be determined by two methods. Furthermore, the optimal portfolio obtained from the two models are simulated to show that the portfolio obtained from the model is the optimal portfolio.
format Final Project
author PURNAMASARI (NIM : 10106040); Pembimbing : Prof. Dr. Roberd Saragih, WULAN
spellingShingle PURNAMASARI (NIM : 10106040); Pembimbing : Prof. Dr. Roberd Saragih, WULAN
#TITLE_ALTERNATIVE#
author_facet PURNAMASARI (NIM : 10106040); Pembimbing : Prof. Dr. Roberd Saragih, WULAN
author_sort PURNAMASARI (NIM : 10106040); Pembimbing : Prof. Dr. Roberd Saragih, WULAN
title #TITLE_ALTERNATIVE#
title_short #TITLE_ALTERNATIVE#
title_full #TITLE_ALTERNATIVE#
title_fullStr #TITLE_ALTERNATIVE#
title_full_unstemmed #TITLE_ALTERNATIVE#
title_sort #title_alternative#
url https://digilib.itb.ac.id/gdl/view/17595
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