STOCK SELECTION USING SEMI-VARIANCE AND BETA TO CONSTRUCT PORTFOLIO AND EFFECT MACRO-VARIABLE ON PORTFOLIO RETURN

Prof. Adler Haymans Manurung; Amran  Manurung; Nera Marinda  Machdar; Jadongan  Sijabat

doi:10.61841/turcomat.v15i1.14350

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Published: Jan 15, 2024

DOI: https://doi.org/10.61841/turcomat.v15i1.14350

Keywords:

Semi-variance, Portfolio Return, Quadratic Programming, Portfolio Risk, Markowitz Method, Safety-First, Excess Return

Prof. Adler Haymans Manurung

Professor at University of Bhayangkara Jakarta Raya, Jakarta – Indonesia

Amran Manurung

Lecturer of University of HKBP Nommensen, Medan – Indonesia

Nera Marinda Machdar

Professor at University of Bhayangkara Jakarta Raya, Jakarta – Indonesia

Jadongan Sijabat

Lecturer of University of HKBP Nommensen, Medan – Indonesia

Abstract

This research has aims to construct portfolio by varying method and using semi-variance and Beta for selection stocks. This research found 28 stocks to become member portfolio. Equal Weighted, Market Capitalization Weighted, Markowitz Method and Elton Gruber is used to construct portfolio. This research found that the efficient frontier similar to Markowitz Method. Roy Criterion found the portfolio return varying from 2.2% to 9.65% but Kataoka Criterion found the portfolio return varying from 5.4% to 11.12%. This research found that Elton Gruber has the highest portfolio return compared to others portfolio. There is no difference of average return for four portfolios. Market return significant affect to all portfolio return but the interest rate significant affect portfolio returns for equal weighted portfolio and Elton Gruber Method.

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How to Cite

Manurung, P. A. H., Manurung, A. ., Machdar, N. M. ., & Sijabat, J. . (2024). STOCK SELECTION USING SEMI-VARIANCE AND BETA TO CONSTRUCT PORTFOLIO AND EFFECT MACRO-VARIABLE ON PORTFOLIO RETURN. Turkish Journal of Computer and Mathematics Education (TURCOMAT), 15(1), 14–25. https://doi.org/10.61841/turcomat.v15i1.14350

Issue

Vol. 15 No. 1 (2024): Vol. 15 No. 01 (2024)

Section

Research Articles

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Author Biography

Amran Manurung, Lecturer of University of HKBP Nommensen, Medan – Indonesia

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