Quadratic Investment Portfolio Based on Value-at-risk with Risk-Free Assets: For Stocks of the Mining and Energy Sector

Naomi Pandiangan, Sukono Sukono and Endang Soeryana Hasbullah
Additional contact information
Naomi Pandiangan: Master s Program in Mathematics, Universitas Padjadjaran, Bandung, Indonesia,
Sukono Sukono: Department of Mathematics, Universitas Padjadjaran, Bandung 40132, Indonesia.
Endang Soeryana Hasbullah: Department of Mathematics, Universitas Padjadjaran, Bandung 40132, Indonesia.

International Journal of Energy Economics and Policy, 2021, vol. 11, issue 4, 175-184

Abstract: The mining and energy sector is still the driving force for economic development and community empowerment, especially around mining and energy activities. Therefore, increased investment in the mining and energy sectors needs to be increased and balanced with stricter safety and environmental policies. This paper aims to formulate a quadratic investment portfolio optimization model, and apply it to several stocks in the mining and energy sectors. In this paper, it is assumed that risk is measured using Value-at-Risk (VaR), so that the optimization modeling is carried out using the quadratic investment portfolio approach to the Mean-VaR model with risk-free assets. Furthermore, the model is used to determine the efficient portfolio surface based on several values of risk aversion levels. Based on the results of the analysis, it is found that an efficient portfolio surface has a minimum portfolio return value with an average of 0.766522 and a VaR risk of 0.038687. In addition, the results of the analysis can be concluded that the greater the level of risk aversion, the smaller the VaR value, which is followed by the smaller the portfolio average value.

Keywords: Mining and energy sector; risk free assets; investment; Value-at-Risk; portfolio optimization. (search for similar items in EconPapers)
JEL-codes: A12 C61 G11 Q48 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econjournals.com/index.php/ijeep/article/download/11165/5907 (application/pdf)
https://www.econjournals.com/index.php/ijeep/article/view/11165/5907 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2021-04-22

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().