Simple Techniques for Determining the Optimal Portofolio
| Main Author: | Nugraha, C.H. Asta |
|---|---|
| Format: | Book PeerReviewed application/pdf |
| Terbitan: |
Badan Penerbit Universitas Muria Kudus
, 2012
|
| Subjects: | |
| Online Access: |
http://eprints.umk.ac.id/283/1/buku_Seminar_dan_Konferensi_Nasional_Magister_Manajemen_Universitas_Muria_Kudus_full.57%2D78.pdf http://eprints.umk.ac.id/283/ |
| ctrlnum |
283 |
|---|---|
| fullrecord |
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<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><title>Simple Techniques for Determining the Optimal Portofolio</title><creator>Nugraha, C.H. Asta</creator><subject>Manajemen rekod bisnis. Kearsipan. Arsip bisnis.</subject><subject>Teori Ekonomi</subject><subject>Manajemen. Manajemen industri</subject><subject>Pendapatan. Faktor saham</subject><subject>Manajemen produksi, Manajemen operasi</subject><description>The calculation of optimal portfolio would be easy to do if security analysts and fund managers have a single standard that measure the desirability of including a stock in the optimal portfolio. If a Single Index Model is accepted as describing the co movement between securities, such standard exists. The desirability of any stock is directly related its excess return to beta ratio. Excess return is the defference between expected return on the stocks and the riskless rate of interest such as rate on a Treasury Bill. How many stocks are selected depends on a unique cut of rate such that all stocks with ratios of (R i – R F ) / i will be included and all stocks with lower ratios excluded. We call this cut off ratio C* The rules for determining which stocks are included in the optimum portfolio are as follows : (1) Find the “excess return to beta” ratio for each stock under consideration and rank from the highest to lowest. (2) The optimum portfolio consists of investing in all stocks for which (R i – R F ) / i is greater than a particular cut off point C*.</description><publisher>Badan Penerbit Universitas Muria Kudus</publisher><date>2012-05-26</date><type>Book:Book</type><type>PeerReview:PeerReviewed</type><type>File:application/pdf</type><identifier>http://eprints.umk.ac.id/283/1/buku_Seminar_dan_Konferensi_Nasional_Magister_Manajemen_Universitas_Muria_Kudus_full.57%2D78.pdf</identifier><identifier>Nugraha, C.H. Asta (2012) Simple Techniques for Determining the Optimal Portofolio. In: Prosiding Seminar & Konferensi nasional Manajemen Bisnis: memberdayakan UMKM dalam meningkatkan kesejahteraan masyarakat menghadapi persaingan global. Kudus, 26 Mei 2012. Badan Penerbit Universitas Muria Kudus, Kudus, pp. 47-67. ISBN 978-602-99614-4-7</identifier><relation>http://eprints.umk.ac.id/283/</relation><recordID>283</recordID></dc>
|
| format |
Book:Book Book PeerReview:PeerReviewed PeerReview File:application/pdf File |
| author |
Nugraha, C.H. Asta |
| title |
Simple Techniques for Determining the Optimal Portofolio |
| publisher |
Badan Penerbit Universitas Muria Kudus |
| publishDate |
2012 |
| isbn |
9786029961447 |
| topic |
Manajemen rekod bisnis. Kearsipan. Arsip bisnis Teori Ekonomi Manajemen. Manajemen industri Pendapatan. Faktor saham Manajemen produksi Manajemen operasi |
| url |
http://eprints.umk.ac.id/283/1/buku_Seminar_dan_Konferensi_Nasional_Magister_Manajemen_Universitas_Muria_Kudus_full.57%2D78.pdf http://eprints.umk.ac.id/283/ |
| contents |
The calculation of optimal portfolio would be easy to do if security analysts and fund managers have a single standard that measure the desirability of including a stock in the optimal portfolio. If a Single Index Model is accepted as describing the co movement between securities, such standard exists. The desirability of any stock is directly related its excess return to beta ratio. Excess return is the defference between expected return on the stocks and the riskless rate of interest such as rate on a Treasury Bill. How many stocks are selected depends on a unique cut of rate such that all stocks with ratios of (R i – R F ) / i will be included and all stocks with lower ratios excluded. We call this cut off ratio C* The rules for determining which stocks are included in the optimum portfolio are as follows : (1) Find the “excess return to beta” ratio for each stock under consideration and rank from the highest to lowest. (2) The optimum portfolio consists of investing in all stocks for which (R i – R F ) / i is greater than a particular cut off point C*. |
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