DOI: https://doi.org/10.14710/j.gauss.14.1.118-127

PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM MENGGUNAKAN ESTIMASI ROBUST

*La Gubu orcid scopus  -  Jurusan Matematika Fakultas Matematika dan Ilmu Pengetahuan Alam , Indonesia
Dedi Rosadi orcid scopus  -  Departemen Matematika Fakultas Matematika dan Ilmu Pengetahuan Alam, Universitas Gadjah Mada, Indonesia
Open Access Copyright 2025 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract
This paper presents constructing an optimal stock portfolio using robust estimation. There are three robust estimations used in forming an optimal portfolio, namely the robust fast minimum covariance determinant (FMCD) estimation, the robust scale (S) estimation, and the robust constrained M (CM) estimation. Portfolio construction is also carried out using mean-variance (MV) classic estimation to see the advantages of portfolios with robust estimations. The performance of the portfolio formed is measured using the Sharpe ratio. The empirical study was carried out using daily closing price data for stocks included in the LQ 45 index for the February-July 2023 period. The empirical study shows that the portfolio's performance from the three robust estimations outperforms the portfolio produced using the classic MV estimation. Furthermore, it was found that the portfolio's performance using the robust CM estimation outperforms the portfolio using other robust estimations.
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Keywords: risk; return; stock portfolio; robust estimation; portfolio’s performance
Funding: Universitas Halu Oleo

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