Article Sidebar
Main Article Content
Abstract
In this paper we consider the problem of efficiently finding a (small) set of stocks taken from an index that can replicate the index performance. Furthermore, we add the requirement that the set’s returns have weak correlation with each other. Such a selection of stocks may be useful for investors who want to simplify their analysis of the stock index, trying to capture market movement with reduced risk. To solve this problem, we use maximum independent set, a concept from graph theory. As a case study we consider IDX80 in the year 2024.
Keywords
Article Details
Authors retain the copyright of their articles published in the Indonesian Actuarial Journal. By submitting a manuscript, the authors grant Persatuan Aktuaris Indonesia the right of first publication, together with a non-exclusive right to publish, reproduce, distribute, and archive the article in any medium, and to register a Digital Object Identifier for it.
All articles are published under a Creative Commons Attribution-ShareAlike 4.0 International License (CC BY-SA 4.0). Authors are free to deposit the published version in an institutional repository, on a personal website, or on a preprint server, provided the original publication in this journal is acknowledged with a full citation and a link to the article.