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Please use this identifier to cite or link to this item: https://repository.uksw.edu/handle/123456789/205
Title: Elementary Derivation of Efficient Frontier Based on the Efficiency Function
Authors: Parhusip, Hanna Arini
Keywords: efficient frontier;standard deviation;return value;stock price;optimistic and pessimistic conditions
Issue Date: 13-Aug-2009
Publisher: Universitas Malahayati Bandar Lampung
Abstract: This paper provides the derivation of the index stock price as a quadratic curve between standard deviation and return values. The curve is known as the efficient frontier in the Portfolio Theory. Parameters in the parabolic curve are determined by a polynomial interpolation. The efficiency function is defined based on the efficient frontier obtained by interpolation of the given data. The efficient frontier is separated into two conditions : pessimistic condition and optimistic condition. The efficiency function is then renewed based on these two conditions. The analysis agrees with the Markowitz expectation that the chosen portfolio should be in the pessimistic condition
Description: Proceedings of 4th International Conference on Mathematics and Statistics (ICOMS 2009) , Universitas Malahayati Bandar Lampung, 13-14 August 2009, p. 129-137
URI: http://repository.uksw.edu/handle/123456789/205
ISSN: 2085-7748
Appears in Collections:Published Research Reports

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