Abstract: Utility function can
use to give risk preference for investors who want to get the benefits gained
meets investment targets. Quadratic utility functions on optimal portfolio is
strongly influenced by the expected return and standard deviation. The
establishment of optimal portfolios using a quadratic utility function
optimization problems. Under the settlement portfolio optimization, the
necessary data is expected return, variance, and variance covariance matrix.
The optimal portfolio is affected by some factors Risky less Rate, risk
aversion index, and Borrow Rate. The results of settlement portfolio
optimization is obtaining the utility value while the relatively large changes
influencing by risk averse index.
Keywords: Portofolio optimal,
Historical data, utility function
Penulis: KADEK FRISCA AYU
DEVI, KOMANG DHARMAWAN, NI MADE ASIH
Kode Jurnal: jpmatematikadd130020
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