T his study tries to form a portfolio by using a method which may accommodate the dynamic of assets correlation and the abnormality of stock return distribution namely DCC-GARCH. Th e objective of th is study is to combine individual stocks with gold, so retail investor can also apply this method. This study us ing data from January 200 9 –December 201 7 period. Samples in this study were nine stocks. The results of this study showed that there were two stocks with higher Sharpe Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA -Gold and SMCB -Gold than unhedged portfolio . And there are three stocks with higher Treynor Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA -Gold , SMCB -Gold and UNTR-Gold than unhedged portfolio . This finding proves that the DCC-GARCH application can improve the risk-adjusted return of these stocks when combined with gold.

中文翻译：

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DCC-GARCH在印尼黄金交易所股票间动态投资组合中的应用

他的研究试图通过一种可以适应资产相关性动态变化和股票收益分配异常的方法（DCC-GARCH）来形成投资组合。研究的目的是将个人股票与黄金结合起来，因此散户投资者也可以采用这种方法。本研究使用的数据来自200年1月9日至201 7年12月。本研究的样本为九只股票。这项研究的结果表明，如果通过动态投资组合形成（对冲投资组合）与黄金相结合，则有两只夏普比率更高的股票，即BBCA-Gold和SMCB-Gold高于未对冲投资组合。如果通过动态投资组合形成（对冲投资组合）与黄金结合，则三只股票的Treynor比率更高，即BBCA-Gold，SMCB-Gold和UNTR-Gold高于未对冲投资组合。