Computational Mathematics of Risk and Return Portofolio Banking (Ramadhan Effect 2024)

Financial engineering combines a rigorous study of computational mathematics with economics and quantitative finance. This research was conducted to analyze the level of risk and return of banking stock portfolios after the Ramadan effect. This research uses a descriptive event study method by calcu...

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Bibliographic Details
Main Authors: Kautsar, Achmad, Thahirrah, Nadia Nur, Safitri, Anita, Rahman, Muhammad Fajar Wahyudi, Wijayati, Dewie Tri, Amelia, Ratih
Format: Conference Proceeding
Language:English
Subjects:
Accuracy
Banking
Computer science
Data analysis
Economics
Finance
financial engineering
Mathematics
Portfolios
portofolio
return
risk
Online Access:Request full text
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Summary:Financial engineering combines a rigorous study of computational mathematics with economics and quantitative finance. This research was conducted to analyze the level of risk and return of banking stock portfolios after the Ramadan effect. This research uses a descriptive event study method by calculating the 3 most profitable stocks in the banking sector to be used as a portfolio with a weight of 33% each. The results showed that the expected return for the banking portfolio was 0.27% and the predicted risk in the next period was 1.46%. These results have been calculated carefully to provide an illustration that investors who want to buy a portfolio of banking shares do not need to worry about future returns
ISSN:2770-159X
DOI:10.1109/CITSM64103.2024.10775616