Optimization investment portfolio of ESG capital market in Indonesia: An investigation of Polynomial Goal Programming based on higher moments

Dimas Dhanubrata Gasmara; Noer Azam Achsani; Bayu Bandono

doi:10.24914/jeb.v26i2.9666

Authors

Dimas Dhanubrata Gasmara Faculty of Economic and Management, IPB University
Noer Azam Achsani Faculty of Economic and Management, IPB University
Bayu Bandono Faculty of Economic and Management, IPB University

DOI:

https://doi.org/10.24914/jeb.v26i2.9666

Keywords:

Polynomial goal programming, safe-haven, sharpe ratio, markowitz theory

Abstract

The development of capital market investors in Indonesia has experienced rapid growth, leading to increasingly volatile movements in the domestic market. Companies or investment managers must form asset portfolios with optimal expected returns and measurable risks to address this issue. This study aims to analyze the potential combinations that can be formed using ESG Capital Market Indonesia 2022 and safe-haven instruments, utilizing the Markowitz theory and Polynomial Goal Programming (PGP) method. This research uses secondary data, and the research variables used are ESG Capital Market Indonesia 2022 and Gold from January 2007 to December 2022. Based on the previous research, the formation of portfolio combinations using safe-haven instruments, employing the Markowitz theory and Polynomial Goal Programming (PGP) method can provide better investment portfolio combinations during crises. Furthermore, the performance of each formed combination is measured using the Sharpe Ratio. The findings indicate that Markowitz's theory can generate better performance than the PGP method. However, it exhibits suboptimal skewness and kurtosis values compared to the PGP method.

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