Optimisasi Portofolio Mean-VaR di bawah CAPM Transformasi Koyck dengan Volatilitas Tak Konstan dan Efek Long Memory
Abstract: In this paper we
formulated mean-VaR portfolio optimization through CAPM Koyck transformation.
We assumed that lagged of risk premium which have highly influence on stock
returns is infinite, while model parameters decrease geometrically. We also
assumed that rate of return in risk premium market index is not constant, in
other word has a non-constant volatility rate, and also has a long memory
effect. The later was analyzed using ARFIMA. Non constant volatility rate was
modeled via GARCH model. The portfolio optimization was constructed using
Langrangian multiplier and the Kuhn-Tucker theorem was employed to obtain the
solution by the least square method. Finally, we provide a numerical example of
the optimization model based on several stocks traded in Indonesian capital
market.
Penulis: Sukono, Subanar, Dedy
Rosadi
Kode Jurnal: jptindustridd100061
