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[02332] Risk Parity Portfolio in the COVID-19 Era: Indonesia Empirical Evidence

• Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
• Type : Contributed Talk
• Abstract : A Risk Parity Portfolio allocates capital thus each asset contributes the same amount of risk to the entire portfolio. In this paper, we conduct an empirical study of Risk Parity Portfolio with Gaussian Multivariate Mixture-Based Clustering based on financial ratio data. The daily closing price data of LQ45 index stocks listed on the Indonesia Stock Exchange were employed. The performance of the Risk Parity Portfolio outperformed the Tangency Portfolio in the COVID-19 era.
• Classification : 91G10, 91G80
• Format : Online Talk on Zoom
• Author(s) :
  • Rosita Kusumawati (Mathematics Department, Mathematics and Natural Sciences Faculty, Universitas Gadjah Mada)
  • Dedi Rosadi (Mathematics Department, Mathematics and Natural Sciences Faculty, Universitas Gadjah Mada)
  • Abdurakhman Abdurakhman (Mathematics Department, Mathematics and Natural Sciences Faculty, Universitas Gadjah Mada)