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

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  • Adler Haymans MANURUNG
  • Fadh Fauzi HIBATULLAH
  • Jadongan SIJABAT

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.

Suggested Citation

  • Adler Haymans MANURUNG & Fadh Fauzi HIBATULLAH & Jadongan SIJABAT, 2023. "Stock Selection Using Roy Criteria to Construct a Portfolio and the Effects of Variables on Portfolio Return," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(3), pages 1-2.
    • Handle: RePEc:spt:fininv:v:12:y:2023:i:3:f:12_3_2
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    References listed on IDEAS

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    Cited by:

    1. Adler Haymans Manurung & Nera Marinda Machdar & Jadongan Sijabat & Amran Manurung, 2024. "The Construction of a Portfolio Using Varying Methods and the Effects of Variables on Portfolio Return," International Journal of Economics and Financial Issues, Econjournals, vol. 14(1), pages 233-241, January.

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    More about this item

    Keywords

    Portfolio construction; Return portfolio; Risk portfolio; Skewness and quadratic programming; Market capitalization.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G1 - Financial Economics - - General Financial Markets
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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