DOI: https://doi.org/10.9744/jti.12.2.pp.%2089-94

Optimisasi Portofolio Mean-VaR di bawah CAPM Transformasi Koyck dengan Volatilitas Tak Konstan dan Efek Long Memory

Sukono Sukono, Subanar Subanar, Dedy Rosadi

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.

Keywords


ARFIMA, GARCH, CAPM, Koyck, VaR, Kuhn-Tucker.

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DOI: https://doi.org/10.9744/jti.12.2.pp.%2089-94



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The Journal is published by The Institute of Research & Community Outreach - Petra Christian University. It available online supported by Directorate General of Higher Education - Ministry of National Education - Republic of Indonesia.

©All right reserved 2016.Jurnal Teknik Industri, ISSN: 1411-2485, e-ISSN: 2087-7439

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