Diversification and portfolio theory: a review

Koumou, Gilles Boevi

doi:10.1007/s11408-020-00352-6

Cited by 47 publications

(15 citation statements)

References 264 publications

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“…Diversifikasi merupakan salah satu prinsip terpenting teori portofolio modern yang bermanfaat dalam mengurangi risiko atau ketidakpastian dengan cara meningkatkan jumlah saham dalam portofolio saham yang dapat menghasilkan return yang maksimal dengan risiko yang minimal. Diversifikasi adalah salah satu komponen utama pengambilan keputusan investasi di bawah risiko atau ketidakpastian (Koumou, 2020). Oyenubi (2019) mengatakan bahwa tidak ada angka unik dalam hal jumlah optimal stok yang diperlukan untuk mencapai diversifikasi penuh.…”

Section: Pendahuluanunclassified

Investasi Saham di Masa Pandemi COVID-19

Tambunan¹

2020

WidyaCipta

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Pandemi COVID-19 telah memukul berbagai sektor, termasuk pasar saham sehingga membuat banyak orang ragu untuk berinvestasi saham. Banyak industri terkena dampak Covid-19 menyebabkan sejak Maret 2020 Indeks Harga Saham Gabungan (IHSG) Bursa Efek Indonesia mengalami penurunan, tetapi sejak minggu ketiga Mei hingga awal Juni 2020 menunjukkan kenaikan yang mengindikasikan perdagangan saham mulai menunjukkan perbaikan. Penelitian ini bertujuan menganalisis saham-saham sektor apa saja yang masih mampu mencatatkan penguatan di masa pandemi COVID-19, dengan menggunakan data sekunder volume perdagangan, Indeks Harga Saham Gabungan (IHSG), kapitalisasi pasar secara mingguan dan bulanan dengan sampel menggunakan pasar saham Indonesia periode bulan Maret 2020 – Juni 2020 yang diperoleh dari laporan mingguan Otoritas Jasa Keuangan (OJK) dan Laporan Bulanan Bursa Efek Indonesia (BEI). Hasil penelitian menunjukkan bahwa saham-saham sektor industri konsumsi, sektor telekomunikasi, dan sektor kesehatan merupakan saham-saham yang dapat menjadi pilihan investor di masa pandemi COVID-19.Kata Kunci: keputusan investasi, portofolio saham, risiko dan return

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Section: Pendahuluanunclassified

Investasi Saham di Masa Pandemi COVID-19

Tambunan¹

2020

WidyaCipta

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“…However, practical decisions resulting from the use of these axiomatic risk measures may contradict economic intuition or well-established empirical patterns. For example, risk-averse individuals, when utilizing the most prominent axiomatic risk measure of Conditional Value-at-Risk (Acerbi and Tasche 2002), may violate (Brandtner 2013) the empirical paradigm of diversification in portfolio selection (Koumou 2018;Markowitz 1952), increase risk exposure even though their risk aversion is expected to rise (Brandtner and Kürsten 2015), or expand risky investment though the threat of some additional background risk looms (Brandtner 2018). In any of these behavioral inconsistencies between theoretical and observed patterns, there is the need for ongoing data collection and…”

Section: Suggestions and Future Developmentsmentioning

confidence: 99%

Qualitative research: extending the range with flexible pattern matching

et al. 2021

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The flexible pattern matching approach has witnessed increasing popularity. By combining deduction with induction in logic, flexible pattern matching is well suited for exploration and theory development. The paper discusses its logic, advantages and process of this approach while offering a review of research adopting this approach. We also compare and contrast it with another popular qualitative data analysis technique, the grounded theory approach, to further ground the method on the established knowledge and elaborate its strength and fitting context. This paper advances the flexible pattern matching approach by suggesting a five-step roadmap to conduct qualitative research with the approach.

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“…According to Rubinstein (2002), the key ingredient of risk diversification is the return covariance between risky assets that to be selected into the portfolio. The less positively correlated the assets, the lower the probability that the assets suffer losses simultaneously in the same proportion, and the better the protection offered by this multilateral insurance, namely diversification (Koumou, 2020).…”

Section: Risk Diversificationmentioning

confidence: 99%

A Time-Varying Network for Cryptocurrencies

Guo

Härdle

Tao

2022

Journal of Business & Economic Statistics

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Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a timevarying network for cryptocurrencies, based on the evolution of return cross-predictability and technological similarities. We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. We demonstrate that investors can achieve better risk diversification by investing in cryptocurrencies from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1.08% daily return. By dissecting the portfolio returns on behavioral factors, we confirm that our results are not driven by behavioral mechanisms.

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Diversification and portfolio theory: a review

Cited by 47 publications

References 264 publications

Investasi Saham di Masa Pandemi COVID-19

Investasi Saham di Masa Pandemi COVID-19

Qualitative research: extending the range with flexible pattern matching

A Time-Varying Network for Cryptocurrencies

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