MIP/MB-IPB/081

MANAJEMEN INVESTASI DAN PORTOFOLIO

Lecture 3b: Portfolio Management

MANAJEMEN INVESTASI DAN PORTOFOLIO

Lecture 3b: Portfolio Management

MIP/MB-IPB/082

Risk Reduction with DiversificationRisk Reduction with Diversification

Number of Securities

St. Deviation

Market Risk

Unique Risk

MIP/MB-IPB/083

rp = W1r1 + W2r2

W1 = Proportion of funds in Security 1W2 = Proportion of funds in Security 2r1 = Expected return on Security 1r2 = Expected return on Security 2

1

n

1iiw

Two-Security Portfolio: ReturnTwo-Security Portfolio: Return

MIP/MB-IPB/084

p2 = w1

212 + w2

222 + 2W1W2 Cov(r1r2)

12 = Variance of Security 1

22 = Variance of Security 2

Cov(r1r2) = Covariance of returns for Security 1 and Security 2

Two-Security Portfolio: RiskTwo-Security Portfolio: Risk

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