Open access Journal
Optimasi Portofolio Berdasarkan Model Mean-Variance dengan menggunakan Lagrange Multiplier pada saham IDX30
Indonesian Journal of Applied Mathematics · Vol. 4 No. 2 (2025)
- ISSN
- 2774-2016, 2774-2067
- Published
- 2025-01-31
- Publisher
- Institut Teknologi Sumatra
Abstract
This study aims to optimize the portofolio of stocks included in the IDX30 index using the Mean-Variance model developed by Markowitz. The Lagrange Multiplier method is used in this study to determine the optimal fund allocation by minimizing risk and optimizing expected return. The data used is the daily closing price of stocks from 15 companies listed in the IDX30 index over the last five years (2019-2024). The results show that the Mean-Variance and Lagrange Multiplier methods are effective in identifying the optimal portofolio that can minimize investment risk while maximizing returns
Collaboration network of the authors
20 authors · 33 co-authorship links
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| Co-author | Organisation | Joint articles |
|---|---|---|
| Jova Edri Saputra | Affiliation unknown | 2 |
| Ainol Yaqin | Affiliation unknown | 2 |
| Gusrian Putra | Affiliation unknown | 1 |
| Meysi Supmawati | Affiliation unknown | 1 |
| Kurnia Novita Sari | Affiliation unknown | 1 |
| Sapto Wahyu Indratno | Affiliation unknown | 1 |
| Andi Fitriawati | Affiliation unknown | 1 |
| Muawanah Muawanah | Affiliation unknown | 1 |
| Budhi Agung Prasetyo | Affiliation unknown | 1 |
| Muhammad Zainuddin Lubis | Affiliation unknown | 1 |
| Yenci Brika Enkekes | Affiliation unknown | 1 |
| Utriweni Mukhaiyar | Affiliation unknown | 1 |
| Dwi Rianti | Affiliation unknown | 1 |
| Achmad Suryadi Nasution | Affiliation unknown | 1 |
| Erika Aprilyani | Affiliation unknown | 1 |
| Faculty of Science, Institut Teknologi Sumatera, South Lampung, Indonesia Department of Mathematics | Affiliation unknown | 1 |
| Faculty of Science, Institut Teknologi dan Sains NU Lampung, Indonesia Department of Physics | Affiliation unknown | 1 |
Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.