Abstrak 
Mean-Variance Portfolio Optimization on Some Islamic Stocks by Using Non Constant Mean and Volatility Models Approaches
Endang Soeryana, Ismail Bin Mohd, Mustafa Mamat, Sukono, Endang Rusyaman
Universitas Padjadjaran, Proceedings of the International Conference on Mathematical and Computer Sciences Jatinangor, October 23rd-24th , 2013
Bahasa Inggris
Universitas Padjadjaran, Proceedings of the International Conference on Mathematical and Computer Sciences Jatinangor, October 23rd-24th , 2013
ARMA models, GARCH models., Investment risk, Lagrangian multiplier., portfolio Mean-Variance
Investment in Islamic stocks investors are also faced with the issue of risk, due to daily price of Islamic stock also fluctuate. To minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several Islamic stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to Islamic stocks by using mean and volatility is not constant approaches. Non constant mean analyzed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analyzed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique. As a numerical illustration, the method is used to analyze some Islamic stocks in Indonesia. The expected result is to get the proportion of investment in each Islamic stock analyzed.