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Analysis of Financial Portfolio Using Mean-Variance
Ordered Weighted Average (OWA) Approach
‘Ainul Nabilah binti Mohd Zaid
Supervisor: Dr. Binyamin Bin Yusoff
Bachelor of Science (Financial Mathematics)
School of Informatics and Applied Mathematics
The main purpose of this study is to construct mean-variance portfolio of stocks from
Bursa Malaysia using the OWA operator. The OWA operator in mean-variance model is a
generalization of the arithmetic mean in Markowitz model. The aggregation of expected
return and risk concerning the attitudinal character of investor from optimistic to
pessimistic are studied. In response to that, the mean and variance of optimal portfolio
can be described in an interval. Results showed that, an optimistic investor has the best
portfolio and has highest utility, followed by slightly optimistic investor, neutral investor,
and slightly pessimistic investor while a pessimistic investor has the worst portfolio and
has lowest utility. In conclusion, investment can be made based on investor degree of
optimism and pessimism towards the expected return and risk of portfolio to reduce risk
at a profitable return level or to increase profit at minimal risk.
790 | UMT UNDERGRADUATE RESEARCH DAY 2018