Stock Selection Using Roy Criteria to Construct a Portfolio and the Effects of Variables on Portfolio Return

Adler Haymans Manurung, Fadh Fauzi Hibatullah and Jadongan Sijabat

Journal of Finance and Investment Analysis, 2023, vol. 12, issue 3, 2

Abstract: This research aims to explore for portfolio construction using Roy Criterion. Data was used monthly data of Kompas 100 Indec for period of 2015 to 2022. The result found that 66 stocks for using equal and market capitalization, 22 stocks using Elton Gruber Method. The research's findings are as follows Roy criterion could be used to construct portfolio with determining achievement of minimum return. Portfolio return using Roy criterion is vary from 0.631% to 0.638% per month. The market capitalization weighted Portfolio return is highest then equal weighted portfolio return. Elton Gruber method also used to construct portfolio, then this method has highest return compared to others methods. The Market shock affected all portfolio return and Interest rate has affected portfolio return for equal weighted and Elton Gruber Method. Â JEL classification numbers: C13, C51, C61, G1, M21.

Keywords: Portfolio construction; Return portfolio; Risk portfolio; Skewness and quadratic programming; Market capitalization. (search for similar items in EconPapers)
Date: 2023
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