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All Journal Proximal: Jurnal Penelitian Matematika dan Pendidikan Matematika Journal Informatic, Education and Management (JIEM)
Serli Alifia
Universitas Muhammadiyah Bulukumba
Computer Science & IT Decision Sciences, Operations Research & Management Education Languange, Linguistic, Communication & Media Mathematics Other

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Penerapan Strategi Diversifikasi dalam Pembentukan Portofolio Optimal Menggunakan Model Markowitz Suriani M; Dian Firmayasari S; Harianto Harianto; Nur Sipa; Serli Alifia; Dirman Dirman
Proximal: Jurnal Penelitian Matematika dan Pendidikan Matematika Vol. 9 No. 2 (2026): Exploring Mathematics through Education, Modeling, Finance, and Cultural Perspe
Publisher : Universitas Cokroaminoto Palopo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30605/proximal.v9i2.8800

Abstract

Investments made by investors are generally influenced by the level of return and risk. Therefore, to address this risk, investors can conduct an analysis in advance by diversifying their portfolios. The purpose of this study is to form an optimal portfolio using the Markowitz model so that it can be used as a basis for investment considerations. The data used in this study is secondary data, namely monthly stock data from four companies listed on the Indonesia Stock Exchange (IDX) for the period January 2025 - January 2026 and whose shares are listed on the Liquid 45 (LQ45) index, obtained from the official Yahoo Finance website. The results of the study show that there are three portfolios that fall into the category of optimal portfolios based on the Markowitz efficient portfolio concept, namely portfolio 1 (a combination of PT Bank Syariah Indonesia Tbk and PT Bank Negara Indonesia (Persero) Tbk stocks), with the highest expected return of 10.47% and a risk of 8.12%. Portfolio 3 (a combination of PT Bank Syariah Indonesia Tbk and PT Bank Central Asia Tbk stocks), which offers a balance between return and risk with the same value of 7.45%. Portfolio 5 (a combination of PT Bank Tabungan Negara (Persero) Tbk and PT Bank Central Asia Tbk shares), with the lowest risk level of 5.92% and an expected return of 5.69%.
FORMATION OF AN EFFICIENT SYARIAH STOCK PORTFOLIO USING THE MARKOWITZ MODEL ON THE JAKARTA ISLAMIC INDEX Nadia Magvira; Khusnul Khatimah; Nursan Haryanto; Sarasrina; Nur Sipa; Serli Alifia; Suriani M
Journal Informatic, Education and Management (JIEM) Vol 8 No 2 (2026): AUGUST
Publisher : STMIK Indonesia Banda Aceh

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61992/jiem.v8i2.453

Abstract

This study analyses the formation of an efficient sharia stock portfolio using the Markowitz Model on banking stocks in the Jakarta Islamic Index (JII) in 2025, namely BRIS (Bank Syariah Indonesia Tbk), BTPS (Bank BTPN Syariah Tbk), and BANK (Bank Aladin Syariah Tbk), with daily closing stock price data from the IDX and Yahoo Finance processed using R Studio to calculate historical returns, expected returns, risk (standard deviation ) , covariance, and correlation; The results show that BTPS has the highest expected return (0.10795%) but the highest risk (0.0283), while BANK is the most stable (risk 0.0183%), with moderate correlation between stocks (0.09-0.46), resulting in an optimal portfolio in the form of the highest risk portfolio (100% BTPS, return 0.03%, risk 2.87%) and the lowest risk (22% BRIS, 16% BTPS, 62% BANK, return 0.04%, risk 1.51%), so that the Markowitz Model is proven to be effective in balancing risk-return through diversification for sharia investors.
Co-Authors Dian Firmayasari S Dirman Dirman Harianto Harianto Khusnul Khatimah Nadia Magvira Nur Sipa Nursan Haryanto Sarasrina Suriani M