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Optimal Investment Portfolio With Transaction Lot: Does Price Matter

Author

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  • Ezra Putranda Setiawan

    (Graduate School of Business Administration, Wits Business School, University of the Witwatersrand South Africa)

Abstract

Transaction lot as a rule in real stock market had implemented in several portfolio optimization models. In almost all these models, the stock price became part of the constraint(s), but the role is not well understood. In this study, we compare the effectiveness of portfolio optimization models with transaction lot in different asset price level. We conduct a simulation study using 15 portfolios, each consists of four assets with various price range. We find that the usage of different stock price did not affect the performance of minimum- variance portfolio optimization with transaction lots. On the other hand, the performance of minimum-CVaR portfolio optimization with transaction lots is largely affected by stock price.

Suggested Citation

  • Ezra Putranda Setiawan, 2023. "Optimal Investment Portfolio With Transaction Lot: Does Price Matter," Malaysian E Commerce Journal (MECJ), Zibeline International Publishing, vol. 8(1), pages 40-45, January.
    • Handle: RePEc:zib:zbmecj:v:8:y:2023:i:1:p:40-45
    DOI: 10.26480/mecj.01.2023.40.45
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