# Mean Variance Complex-Based Portfolio Optimization
> Majidah I.A.

URL kanonis: https://discover.unhas.ac.id/publications/pub_scopus_85202728715
Jurnal / Konferensi: Statistics Optimization and Information Computing
Tahun terbit: 2024
DOI: https://doi.org/10.19139/soic-2310-5070-2023
ISSN: 2311004X
Kuartil SJR: Q3
Citations: 2

## Authors
- Majidah I.A.

## Abstract
Mean-Variance (MV) is a method that collects several assets using appropriate weight intending to maximize profits and to reduce risk. Stock market conditions are very volatile, mean variance method does not reach stock market fluctuation well because MV method is only limited to one time period. This study proposes a mean variance complex-based approach that transforms real returns into complex returns by using Hilbert transform to construct an optimal mean-variance portfolio based on complex returns and then find its dynamic asset allocation. The results show that with the same risk tolerance, the mean variance complex-based approach outperforms MV method in profits, losses, and portfolio performance tests.

## Keywords
- Portfolio optimization
- Portfolio
- Variance (accounting)
- Modern portfolio theory
- Mathematics
- Computer science
- Econometrics
- Economics
- Financial economics
- Accounting

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Sumber: Discover Unhas — RIMS Universitas Hasanuddin.
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