COMPARISON OF INVESTMENT STRATEGIES IN INNOVATION AND NON-INNOVATION PORTFOLIOS WITH PORTFOLIO OPTIMIZATION

  • Otniel William Hartanto Petra Christian University
  • Sautma Ronni Basana Petra Christian University
DOI: https://doi.org/10.9744/ijfis.3.2.101-109
Keywords: Asset Allocation, Portfolio Optimization, Innovation-Investing, Non-Innovation vs Innovation Allocation

Abstract

This study aims to examine whether asset allocation strategies to the innovation sector can provide superior portfolio performance to investors. This type of research is comparative research using secondary data sources. The sample used is ETFs (Exchange Traded Funds) from investment companies namely BlackRock and Ark Invest since 2015. The focus of this study is to compare the performance of portfolios without an allocation to innovation assets and portfolios with allocations to innovation assets. This study analyzes the difference in performance between the two portfolios for various weightings and several portfolio optimization approaches, such as 'equal weighting' (1/N), optimality Lagrange, minimum-variance (MinVar), mean-variance (MV), and market-value weighted strategy.

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Published
2023-02-27
How to Cite
Hartanto, O. W., & Basana, S. R. (2023). COMPARISON OF INVESTMENT STRATEGIES IN INNOVATION AND NON-INNOVATION PORTFOLIOS WITH PORTFOLIO OPTIMIZATION. International Journal of Financial and Investment Studies (IJFIS), 3(2), 101-109. https://doi.org/10.9744/ijfis.3.2.101-109
Issue
Vol 3 No 2 (2022): OCTOBER 2022
Section
Articles

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