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Portfolio Selection by Contrarian Strategy: Evidence in Indonesia

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This paper discuss mainly about contrarian as the behavior approach for stocks selection. By applying threshold in priority index in each sector, the number of selected stocks can be obtained for common strategy and contrarian strategy. The portfolio is using the stocks from Jakarta Composite Index (JCI) from January 1, 2010 to December 31, 2012. Continued with optimization process using quadratic programming, then the portfolio performance could be seen with Sharpe Ratio of each portfolio. It turns out that even though contrarian may have higher risk, but in Indonesia market, contrarian can beat the common strategy which chosen by the most of people. Furthermore, the portfolio’s weights of 2010, 2011, and 2012, combined with realized return in each following year, are proven beat the market at that time.
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Document Type: Research Article

Publication date: 2015-06-01

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  • ADVANCED SCIENCE LETTERS is an international peer-reviewed journal with a very wide-ranging coverage, consolidates research activities in all areas of (1) Physical Sciences, (2) Biological Sciences, (3) Mathematical Sciences, (4) Engineering, (5) Computer and Information Sciences, and (6) Geosciences to publish original short communications, full research papers and timely brief (mini) reviews with authors photo and biography encompassing the basic and applied research and current developments in educational aspects of these scientific areas.
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