Efficient frontier analysis for portfolio investment in Malaysia stock market

• Main Authors: Abu Bakar, Nashirah, Rosbi, Sofian
• Format: Article
• Language: English
• Published: Publications International 2018
• Subjects: HG Finance
• Online Access: http://repo.uum.edu.my/26304/1/SIL%2030%205%20%202018%20723%20729.pdf; http://repo.uum.edu.my/26304/; http://www.sci-int.com/Search?catid=105

Modern portfolio theory is a theory of finance that attempts to maximize portfolio expected return for a given amount of risk, or minimize the risk for a given level of expected return. The objective of this study is to develop efficient frontier for portfolio investment consists of two stocks form Kuala Lumpur Stock Exchange (KLSE). Daily share price is collected from Thomson Reuters DataStream. The methodology implemented in this study is statistical normality diagnostics checking, correlation analysis of two stock and mathematical modeling for Markowitz theory to achieve a global minimum of investment risk. The result shows expected portfolio return is 0.54 percentages at global minimum portfolio risk, 2.34 percentages. The findings of this study will help investors to select optimum investment weightage that minimize portfolio risk for a given amount of expected return.