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PROBLEM 2 (30 points) As a complementary approach you have also decided to implement an active investment strategy. For this matter you will develop and
PROBLEM 2 (30 points) As a complementary approach you have also decided to implement an active investment strategy. For this matter you will develop and create an optimal portfolio consisting of 4 blue chip stocks in the IDX exchange, namely: ASII, BBRI, AKRA and ANTM. As a basis for forming portfolio proportions, you use data for the first 2 years (2016-2017) whilst the next 2 years (2018-2019) will be used as the basis for determining portfolio performance. a. Explain the steps to create an optimum portfolio using solver, please also include the required formulas that are used in the calculation. What is the expected return of optimum portfolio? (15 pts). b. Calculate the standard deviation of the optimum portfolio that you have developed and provide your interpretation of the value obtained within the investment context? (15pts)
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