M. Rosha, Arnellis
Modern portfolio theory told us that investors are tend to optimize the expected return of investment subject to a target of risk perception. In the real world, risks are depend on may factors, such as systematic risk (market risk and macroeconomics risk which can not be controlled to diversification) and non-systematic risk (specific company risk which can not be controlled through diversification). Applying Security Market Line Approach, constrained maximization and considering changes in economic situation between 2010-2020, we found that Modern Portfolio Theory can improve portfolio performance when limited impact is spotted on minimizing systematic risk of portfolio. © Published under licence by IOP Publishing Ltd.
Department of Mathematics, Universitas Negeri Padang, Padang City, Indonesia; Department of Mathematics, Universitas Negeri Padang, Padang City, Indonesia
