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@article{J.Gauss14705, author = {Mega Susilowati and Rita Rahmawati and Alan Prahutama}, title = {ANALISIS KINERJA PORTOFOLIO OPTIMAL DENGAN METODE MEAN-GINI}, journal = {Jurnal Gaussian}, volume = {5}, number = {3}, year = {2016}, keywords = {Stock, Portfolio, Mean-Gini, Sharpe index}, abstract = { Investments in financial assets has a special attraction that investors can form a portfolio. Portfolio is investment which comprised of various stocks from different companies. A common issue is the uncertainty when investors are faced with the need to choose stocks to be formed into a portfolio of his choice. A rational investor, would choose the optimal portfolio. Determination of the optimal portfolio can be performed by various methods, one of which is a method of Mean-Gini. Mean-Gini is the expected value of the portfolio return is the weight density function while the random variable is the average of the shares. Mean-Gini methods used to generate the greatest value of portfolio return expectations with the smallest risk. Mean-Gini does not require the assumption of normality on stock returns. Mean-Gini was first introduced by Shalit and Yitzhaki in 1984. This research uses data of closing prices stocks from January 2008 to December 2015. Measurement of portfolio performance with Mean-Gini performed using the Sharpe index. Based on Sharpe index, the optimal portfolio is second portfolio with three stocks portfolio and the proportion investments are 25.043% for SMGR, 68.148% for UNVR and 6.809% for BMRI. Keywords : Stock, Portfolio, Mean-Gini, Sharpe index. }, issn = {2339-2541}, pages = {497--504} doi = {10.14710/j.gauss.5.3.497-504}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/14705} }
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Keywords: Stock, Portfolio, Mean-Gini, Sharpe index.
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