ANALISIS PORTOFOLIO OPTIMAL MODEL MARKOWITZ DAN SINGLE INDEX MODEL

PADA PERUSAHAAN YANG TERDAFTAR INDEKS ESG-LEADER DI BURSA EFEK INDONESIA TAHUN 2020 – 2022

Authors

  • Ahmad Adi Fadhilah Universitas Pekalongan
  • M. Maulidin Fachrur Universitas Pekalongan
  • Anggrainy Putri Ayuningrum Universitas Pekalongan

Keywords:

ESG-Leader, Markowitz Model, Optimal Portofolio, Return, Risk, Single Index Model

Abstract

This research is a quantitative descriptive study that aims to determine and analyze the optimal portfolio composition of the Markowitz Model and Single Index Model on stocks listed on the ESG- Leader index. This research uses a type of descriptive research with a quantitative approach. The method used is quantitative descriptive with secondary data processed using Microsoft Excel application.

The results of this study are: (1) for the Markowitz model, 11 stocks were obtained that formed an optimal portfolio, namely: BBCA (10.23%), BBRI (3.47%), BFIN (2.88%), BMRI (8.68%), LPPF (3.52%), MAPI (0.57%), MIKA (20.60%), SMSM (9.56%), TBIG (8.36%), TLKM (22.94%), and TOWR (9.20%). With an Expected portfolio Return value of 0.0137 (1.37%) and a portfolio risk with a value of 0.0268 (2.68%). (2) for the Single Index Model, 7 stocks were obtained, namely AGII (3.02%), BFIN (6.48%), LPPF (17.26%), MAPI (17.87%), AKRA (33.19%), BMRI (18.21%), and ASSA (3.98%). With a Return of 12.06% and a risk of 11.95%. This optimal portfolio research uses newly released indices so that it can be a first step to research the same index with different models.

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Published

2024-01-31

How to Cite

Fadhilah, A. A., Fachrur, M. M., & Ayuningrum, A. P. (2024). ANALISIS PORTOFOLIO OPTIMAL MODEL MARKOWITZ DAN SINGLE INDEX MODEL: PADA PERUSAHAAN YANG TERDAFTAR INDEKS ESG-LEADER DI BURSA EFEK INDONESIA TAHUN 2020 – 2022. Journal of Accounting and Management’s Student, 1(1). Retrieved from https://journals.unikal.ac.id/index.php/jams/article/view/86

Issue

Vol. 1 No. 1 (2024): JOURNAL OF ACCOUNTING AND MANAGEMENTS STUDENT

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Article

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Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.