ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS
In an investment, there will always be a return and risk, especially in the capital market in the form of stocks. The risk in an investment can be minimized by diversifying assets into several stocks to form a portfolio formation. Several models, such as the Single Index and Markowitz, can evaluate...
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Universitas Pattimura
2024-10-01
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| Series: | Barekeng |
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| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/12728 |
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| author | Asmawi Gunawan Rohmatul Fajriyah M Albarra Bimakasa Siti Nirmala Untari |
| author_facet | Asmawi Gunawan Rohmatul Fajriyah M Albarra Bimakasa Siti Nirmala Untari |
| author_sort | Asmawi Gunawan |
| collection | DOAJ |
| description | In an investment, there will always be a return and risk, especially in the capital market in the form of stocks. The risk in an investment can be minimized by diversifying assets into several stocks to form a portfolio formation. Several models, such as the Single Index and Markowitz, can evaluate optimal portfolio formation. In this study we provide additional information and discourse on capital market studies and as the input for investors in making investment decisions in the form of stocks. The study shows that based on 25 companies, the Markowitz model gives 12 companies as the optimal portfolio with the largest proportion of funds owned by PT Bank Central Asia Tbk (BBCA), 82.22%. The portfolio of those 12 stocks can provide an expected return of 44.8% where its risk is about 13.77%. The Single Index model provides a formation based on 9 companies as the optimal portfolio with the largest proportion of funds owned by -again- PT Bank Central Asia Tbk (BBCA) which is 66.23%. The portfolio of these nine stocks can provide the expected return of 1.68% and its risk is 0.43%. The ratio of risk and return from each model justifies that the Single Index model gives better portfolio formation. This result should be further compared with other stock indexes, nationally and globally, and also needs to be compared with the period after the pandemic.
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| format | Article |
| id | doaj-art-551079382d0e4730a91c9b01f233c992 |
| institution | Kabale University |
| issn | 1978-7227 2615-3017 |
| language | English |
| publishDate | 2024-10-01 |
| publisher | Universitas Pattimura |
| record_format | Article |
| series | Barekeng |
| spelling | doaj-art-551079382d0e4730a91c9b01f233c9922025-08-20T03:37:34ZengUniversitas PattimuraBarekeng1978-72272615-30172024-10-0118410.30598/barekengvol18iss4pp2363-237412728ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELSAsmawi Gunawan0Rohmatul Fajriyah1M Albarra Bimakasa2Siti Nirmala Untari3PT Furniture Artistic Design, IndonesiaMaster Program in Statistics, Faculty of Mathematics and Natural Sciences, Universitas Islam Indonesia, IndonesiaDepartment of Industrial Engineering, Faculty of Industrial Engineering, Universitas Islam Indonesia, IndonesiaMaster Program in Statistics, Faculty of Mathematics and Natural Sciences, Universitas Islam Indonesia, IndonesiaIn an investment, there will always be a return and risk, especially in the capital market in the form of stocks. The risk in an investment can be minimized by diversifying assets into several stocks to form a portfolio formation. Several models, such as the Single Index and Markowitz, can evaluate optimal portfolio formation. In this study we provide additional information and discourse on capital market studies and as the input for investors in making investment decisions in the form of stocks. The study shows that based on 25 companies, the Markowitz model gives 12 companies as the optimal portfolio with the largest proportion of funds owned by PT Bank Central Asia Tbk (BBCA), 82.22%. The portfolio of those 12 stocks can provide an expected return of 44.8% where its risk is about 13.77%. The Single Index model provides a formation based on 9 companies as the optimal portfolio with the largest proportion of funds owned by -again- PT Bank Central Asia Tbk (BBCA) which is 66.23%. The portfolio of these nine stocks can provide the expected return of 1.68% and its risk is 0.43%. The ratio of risk and return from each model justifies that the Single Index model gives better portfolio formation. This result should be further compared with other stock indexes, nationally and globally, and also needs to be compared with the period after the pandemic. https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/12728Markowitz ModelOptimal PortfolioReturnRiskSingle Index Model |
| spellingShingle | Asmawi Gunawan Rohmatul Fajriyah M Albarra Bimakasa Siti Nirmala Untari ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS Barekeng Markowitz Model Optimal Portfolio Return Risk Single Index Model |
| title | ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS |
| title_full | ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS |
| title_fullStr | ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS |
| title_full_unstemmed | ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS |
| title_short | ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS |
| title_sort | analysis of portfolio formation on the lq45 stocks index using the markowitz and single index models |
| topic | Markowitz Model Optimal Portfolio Return Risk Single Index Model |
| url | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/12728 |
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