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OPTIMAL PORTFOLIO SELECTION UNDER INEFFICIENT MARKET CONDITION

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dc.contributor.author Ginting, Neshia Wilhelmina
dc.date.accessioned 2021-10-12T04:52:45Z
dc.date.available 2021-10-12T04:52:45Z
dc.date.issued 2019
dc.identifier.uri http://repository.president.ac.id/xmlui/handle/123456789/5028
dc.description.abstract This research attempts to formulate new mean-risk model to replace Markowitz’s mean-variance model by using ARCH as the risk measurement and also provide new benchmark in selecting optimal portfolio specifically for inefficient market condition. Sample used in this data is closing price of Indonesia stock and bonds index from 2013 to 2018. This research found that Markowitz’s model is still superior when utilized in daily data, while mean-ARCH model is appropriate with wider gap data like monthly observation. Historical return also proven to be more appropriate as benchmark in selecting optimal portfolio rather than risk-free rate in the case of inefficient market. Using another risk measurement in building portfolio and observing other countries market with inefficient condition is suggested for further research. en_US
dc.language.iso en_US en_US
dc.publisher President University en_US
dc.relation.ispartofseries Accounting;008201600031
dc.subject Modern Portfolio Theory en_US
dc.subject mean-ARCH model en_US
dc.subject Optimal portfolio en_US
dc.subject Inefficient market en_US
dc.subject Weighted historical return en_US
dc.title OPTIMAL PORTFOLIO SELECTION UNDER INEFFICIENT MARKET CONDITION en_US
dc.type Thesis en_US


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