Analysis of Optimal Portfolio Performance Comparison on Companies Listed in LQ45 Index and Companies Unregistered in LQ45 Index

Wiryakusuma, I Gusti Bagus Yosia

doi:10.18502/kss.v4i3.6410

Cited by 2 publications

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“…The LQ45 index is preferred a lot because it contains a large number of stocks with high liquidity (Wiryakusuma, 2020). It is formed of 45 IDX stocks with high liquidity and high market capitalization.…”

Section: Introductionmentioning

confidence: 99%

Optimization of Stock Portfolio Using the Markowitz Model in the Era of the COVID-19 Pandemic

Hanif

Hanun²,

Febriansah³

2021

TIJAB

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Stocks are one of the popular investment instruments traded in the capital market. The popularity of stock purchase has developed along with the massive financial literacy movement. However, the massiveness of this movement must be balanced with knowledge and expertise in managing stock instruments since they have a high return rate and high risk. One way to manage stocks is by developing an optimal stock portfolio based on the Markowitz model. The Markowitz model is a method that formulates the elements of return and risk in an investment, and specifically the elements of risk can be minimized through diversification and combination of various investment instruments into a portfolio. By using the Markowitz method, investors can take advantage of all available information as a basis for maximizing the portfolio. This study aimed to determine which stocks can form an optimal portfolio, especially in the era of the COVID 19 pandemic and the optimal proportion of the portfolio that is feasible to obtain from stocks listed in the LQ 45 Index. The study samples involved stocks listed in the LQ 45 Index. The data analysis technique applied in this study was portfolio optimization using the Markowitz model. The results of this study showed that the optimal portfolio consisted of BBCA with a weight of 78.09% and BRPT with a weight of 21.91% which produced an expected return of 2.35% and a standard deviation of 7.01%.

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Section: Introductionmentioning

confidence: 99%

Optimization of Stock Portfolio Using the Markowitz Model in the Era of the COVID-19 Pandemic

Hanif

Hanun²,

Febriansah³

2021

TIJAB

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“…Adelya Tri Agustin dan Nyoman Abundanti perusahaan dengan berbagai kriteria sehingga memudahkan investor dalam menentukan pilihan, seperti JIC, Sectoral Index, LQ45, Jakarta Islamic Index (JII), KOMPAS100 dan lainnya. Indeks yang disukai banyak investor adalah indeks LQ45, karena merupakan kumpulan saham dengan likuiditas tinggi (Wiryakusuma, 2020). Pada penelitian sebelumnya yang dilakukan oleh Pudji et al, (2018) dalam penelitiannya menemukan bahwa penghitungan portofolio optimal dengan model Indeks Tunggal memiliki kinerja yang lebih baik daripada model Korelasi Konstan dan model Markowitz untuk indeks Kompas 100 dan LQ45.…”

Section: Studi Komparasi Pembentukan Portofolio Optimal Menggunakan M...unclassified

Studi Komparasi Pembentukan Portofolio Optimal Menggunakan Model Markowitz Dan Model Indeks Tunggal

Agustin,

Abundanti

2023

EEB

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The purpose of this study was to determine the results of the comparison of the formation of the optimal portfolio using the Markowitz model and the Single Index model. This study was conducted on companies that are members of the LQ45 Index in the period August 2017 to January 2020. The number of companies used as samples were 32 companies using a purposive sampling method, namely data selection based on several criteria. The data were obtained by observing, understanding, and studying books, journals, theses and other literature related to research, as well as from the closing price of each company's shares at Yahoo Finance and idx.co.id. The data analysis technique used is the Wilcoxon-Mann-Whitney test. The results of this study showed that is no significant difference in the average return of the two models, so it can be concluded that to form an optimal LQ45 stock portfolio, both methods can be used, namely the Markowitz model and the Single Index model. The result of study have implications for the selection of stocks for investors. Investors can use the Markowitz model and the Single Index model in selecting the optimal portfolio because the two methods are the same but only differ in the calculation.

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Analysis of Optimal Portfolio Performance Comparison on Companies Listed in LQ45 Index and Companies Unregistered in LQ45 Index

Cited by 2 publications

References 0 publications

Optimization of Stock Portfolio Using the Markowitz Model in the Era of the COVID-19 Pandemic

Optimization of Stock Portfolio Using the Markowitz Model in the Era of the COVID-19 Pandemic

Studi Komparasi Pembentukan Portofolio Optimal Menggunakan Model Markowitz Dan Model Indeks Tunggal

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