Stock Trading Model using Portfolio Optimization and Forecasting Stock Price Movement

Optimalisasi Risiko Saham Menggunakan Optimalisasi Portofolio Markowitz (Studi Kasus Saham Di Indonesia)

“…Portfolio Markowitz have studied by many researchers for examples : Deng, Lin, & Lo (2012) discussed about Cardinality Constraints Markowitz Portfolio Optimization problem (CCMPO problem) [4]; Evstigneev, Hens, & Schenk-Hoppé (2015) talked about the minimum variance portfolio, the return-generating self-financing portfolio involved in the solution to the Markowitz optimization problem [5]; Markowitz (2014) discussed about mean-variance approximations to expected utility [6]; Dhrymes (2017) mentioned about CAPM extending the work of Markowitz in portfolio selection, and the role played by idiosyncratic risk, and the optimal composition of efficient portfolios [7]; Leung, Ng, & Wong (2012) discussed about derives explicit formulas for the estimator of the optimal portfolio return [8]; and Park & Shin (2013) talked about stock trading model using portfolio optimization on stocks which listed in KOSPI200 from January 2007 to August 2008 [9].…”