Review Literatur Pengujian Empiris Model Pembentukan Portofolio Optimal “Mean-Variance Markowitz”
Abstract
The article aims to review the literature on the results of empirical testing of the model of mean-variant (M-V) Markowitz optimal portfolio determination. Through the literature review method, the study obtained 17 empirical research articles with various findings. Several test results support and strengthen model of M-V Markowitz in determining the optimal portfolio. The Others do not support the application of the M-V Markowitz Model. Other researchers tried to propose an adjustment model and then tested the model. The results of the testing found that the adjusted model of M-V Markowitz was better at determining the optimal portfolio compared to the initial model.
Keywords:
Mean-Variance, Markowitz, MPT, risk-adjusted returns
References
Boasson, V., Boasson, E., dan Zhao Z. 2011. Portfolio optimization in a mean-semivariance framework. Investment Management and Financial Innovations. Vol. 8, Issue 3.
Dewi, M.P. (2021). Optimasi Portofolio Pada Saham PEFINDO 25 dengan Menggunakan Model MARKOWITZ (Studi Kasus Di Bursa Efek Indonesia). Warmadewa Management and Business Joural, 3(1), 32-42
Ghosh, A. dan Mahanti, Ambuj. 2014. Investment Portfolio Management: A Review from 2009 to 2014. Proceedings of 10th Global Business and Social Science Research Conference 23 -24 June 2014. China.
Indrayanti et al., (2013). Penentuan Portofolio Optimal Dengan Model Markowitz Pada Saham Perbankan di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 2(8).
Jecheche, P. 2011. An empirical investigation of Markowitz Modern Portfolio Theory: A case of the Zimbabwe Stock Exchange. Journal of Case Research in Business and Economics.
Kaplan. 2014. Back to Markowitz. Morningstar Indexes. 2014/15
Li, B., & Li, J. 2012. Empirical portfolio analysis: MV vs CAPM. Proceedings of International Economics Development & Research, International Association of Computer Science & Information Technology Press, 42, 259-266.
Omisore, I., Yusuf, M., dan Christopher, N.I. Review The modern portfolio theory as an investment decision tool. Journal of Accounting and Taxation Vol. 4(2), pp. 19-28.
Maharakkhaka. 2011. The Performance of Mean-Variance Portfolio Selection and Its Opportunity Cost: The Case of Thai Securities”. International Conference on Economics and Finance Research. IPEDR. Vol.4.
Markowitz, H.M. 1952. Portfolio Selection. The Journal of Finance, Vol.7, No.1., pp. 77-91
Markowitz, H.M. 1991. Foundations of Portfolio Theory. The Journal of Finance. Vol. 46, No.2, pp. 469-477.
Michael, N.B. (2013). “Mean-Variance Analysis and Efficient Portfolio Selection in the Nigerian Capital Market”. Covenant Journal of Business and Social Sciences (CJBSS) Vol. 5, No. 2.
Ningsih, B.W., Helmi, M. dan Carolina, D. (2021). Analisis Penentuan Saham Portofolio Optimal dengan Model Markowitz pada Perusahaan Sektor Pertambangan yang Terdaftar di Bursa Efek Indonesia Periode Januari 2019-Desemebr 2020. JEMBATAN (Jurnal Ekonomi, Manajemen, Bisnis, Auditing, dan Akuntansi) Vol.6, No.2, Hal. 101-112.
Ramadhan, R.D., Handayani, S.R., Endang, M.G. 2014. Analisis Pemilihan Portofolio Optimal dengan Model dan Pengembangan dari Portofofolio Markowitz (Studi pada Indeks BISNIS-27 di Bursa Efek Indonesia periode 2011 - 2013). Jurnal Administrasi Bisnis (JAB)| Vol. 14 No. 1.
Ravipati, A. 2012. Markowitz’s Portfolio Selection Model and Related Problems. Tesis. Graduate School-New Brunswick. Rutgers, The State University of New Jersey.
Rubinstein, M. 2002. Markowitz’s “Portfolios Selection A Fifty-Year Retrospective. The Journal of Finance. Vol. LVII. No. 3., pp. 1041-1045.
Škrinjarić, Tihana. 2013. Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange. Zagreb International Review of Economics & Business, Vol. 16, No. 1, pp. 65-78.
Solanki, Ashvinkumar H. (2014). Portfolio Selection Process through Markowitz Model. Indian Journal of Applied Research. Vol: 4 Issue: 8., pp. 356-358.
Sun, Y. (2010). Optimization Stock Portfolio with Mean-Variace and Linier Programing: Case in Indonesia Stock Market. BINUS BUSINESS REVIEW Vol.1 No.1, 15-26.
Xie, D. (2021). Empirical Study of Markovitz Portfolio Theory and Model in the Selection of Optimal Portfolio in Shanghai Stock Exchange of China. Journal of Economics, Business and Management, Vol. 9, No. 4, 87-92
Yang, Chin W., dan Hung, Ken. 2010. A Generalized Markowitz Portfolio Selection Model with Higher Moments. IRABF. Volume 2, Number 1, pp 1-8.
Zhan, H. (2015). An Empirical study on Markowitz Modern Portfolio Theory.
Dewi, M.P. (2021). Optimasi Portofolio Pada Saham PEFINDO 25 dengan Menggunakan Model MARKOWITZ (Studi Kasus Di Bursa Efek Indonesia). Warmadewa Management and Business Joural, 3(1), 32-42
Ghosh, A. dan Mahanti, Ambuj. 2014. Investment Portfolio Management: A Review from 2009 to 2014. Proceedings of 10th Global Business and Social Science Research Conference 23 -24 June 2014. China.
Indrayanti et al., (2013). Penentuan Portofolio Optimal Dengan Model Markowitz Pada Saham Perbankan di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 2(8).
Jecheche, P. 2011. An empirical investigation of Markowitz Modern Portfolio Theory: A case of the Zimbabwe Stock Exchange. Journal of Case Research in Business and Economics.
Kaplan. 2014. Back to Markowitz. Morningstar Indexes. 2014/15
Li, B., & Li, J. 2012. Empirical portfolio analysis: MV vs CAPM. Proceedings of International Economics Development & Research, International Association of Computer Science & Information Technology Press, 42, 259-266.
Omisore, I., Yusuf, M., dan Christopher, N.I. Review The modern portfolio theory as an investment decision tool. Journal of Accounting and Taxation Vol. 4(2), pp. 19-28.
Maharakkhaka. 2011. The Performance of Mean-Variance Portfolio Selection and Its Opportunity Cost: The Case of Thai Securities”. International Conference on Economics and Finance Research. IPEDR. Vol.4.
Markowitz, H.M. 1952. Portfolio Selection. The Journal of Finance, Vol.7, No.1., pp. 77-91
Markowitz, H.M. 1991. Foundations of Portfolio Theory. The Journal of Finance. Vol. 46, No.2, pp. 469-477.
Michael, N.B. (2013). “Mean-Variance Analysis and Efficient Portfolio Selection in the Nigerian Capital Market”. Covenant Journal of Business and Social Sciences (CJBSS) Vol. 5, No. 2.
Ningsih, B.W., Helmi, M. dan Carolina, D. (2021). Analisis Penentuan Saham Portofolio Optimal dengan Model Markowitz pada Perusahaan Sektor Pertambangan yang Terdaftar di Bursa Efek Indonesia Periode Januari 2019-Desemebr 2020. JEMBATAN (Jurnal Ekonomi, Manajemen, Bisnis, Auditing, dan Akuntansi) Vol.6, No.2, Hal. 101-112.
Ramadhan, R.D., Handayani, S.R., Endang, M.G. 2014. Analisis Pemilihan Portofolio Optimal dengan Model dan Pengembangan dari Portofofolio Markowitz (Studi pada Indeks BISNIS-27 di Bursa Efek Indonesia periode 2011 - 2013). Jurnal Administrasi Bisnis (JAB)| Vol. 14 No. 1.
Ravipati, A. 2012. Markowitz’s Portfolio Selection Model and Related Problems. Tesis. Graduate School-New Brunswick. Rutgers, The State University of New Jersey.
Rubinstein, M. 2002. Markowitz’s “Portfolios Selection A Fifty-Year Retrospective. The Journal of Finance. Vol. LVII. No. 3., pp. 1041-1045.
Škrinjarić, Tihana. 2013. Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange. Zagreb International Review of Economics & Business, Vol. 16, No. 1, pp. 65-78.
Solanki, Ashvinkumar H. (2014). Portfolio Selection Process through Markowitz Model. Indian Journal of Applied Research. Vol: 4 Issue: 8., pp. 356-358.
Sun, Y. (2010). Optimization Stock Portfolio with Mean-Variace and Linier Programing: Case in Indonesia Stock Market. BINUS BUSINESS REVIEW Vol.1 No.1, 15-26.
Xie, D. (2021). Empirical Study of Markovitz Portfolio Theory and Model in the Selection of Optimal Portfolio in Shanghai Stock Exchange of China. Journal of Economics, Business and Management, Vol. 9, No. 4, 87-92
Yang, Chin W., dan Hung, Ken. 2010. A Generalized Markowitz Portfolio Selection Model with Higher Moments. IRABF. Volume 2, Number 1, pp 1-8.
Zhan, H. (2015). An Empirical study on Markowitz Modern Portfolio Theory.
Published
2022-06-17
How to Cite
Indriasih, D., Mubarok, A., Yunita, E., & Fajri, A. (2022). Review Literatur Pengujian Empiris Model Pembentukan Portofolio Optimal “Mean-Variance Markowitz”. Jesya (Jurnal Ekonomi Dan Ekonomi Syariah), 5(2), 2336-2344. https://doi.org/https://doi.org/10.36778/jesya.v5i2.843
Section
Articles
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