Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal DIGIBE: Digital Business and Entrepreneurship Journal
Zahra Rohadatul Aisylah
Universitas Kuningan
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
MEAN-VARIANCE PORTFOLIO OPTIMIZATION FOR EMDE AND MTDL STOCKS: A MARKOWITZ APPROACH Zahra Rohadatul Aisylah; Ferdiansyah Saputra; Arief Surya Lesmana; Hadi Satria Ganefi
Digital Business and Entrepreneurship Journal Vol. 4 No. 2 (2026): Digital Business and Entrepreneurship Journal
Publisher : PRODI BISNIS DIGITAL FAKULTAS EKONOMI DAN BISNIS UNIVERSITAS KUNINGAN

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25134/digibe.v4i2.609

Abstract

Constructing an optimal portfolio is a crucial step for investors in balancing the trade-off between expected return and investment risk. This study aims to construct an optimal portfolio comprising two stocks, EMDE and MTDL, by applying the Markowitz mean-variance model to minimize return variance at a specific return level. The methodology employs mean-variance optimization, estimating expected return, variance, and covariance based on historical return data for both stocks to determine efficient portfolio weights. The analysis reveals that the optimal portfolio consists of 19.27% EMDE stock and 80.73% MTDL stock. This combination yields an expected portfolio return of 1.33% with a return standard deviation of 8.43%, reflecting a more efficient risk-return profile compared to an allocation in a single stock. These findings indicate that diversification between EMDE and MTDL can improve portfolio risk characteristics without significantly sacrificing returns. Consequently, investors are advised to consider this combination as part of their asset allocation strategy, particularly those with moderate risk preferences who prioritize mean-variance efficiency. This study provides empirical evidence regarding the application of the Markowitz model in the Indonesian stock market and serves as a reference for future research involving a broader range of assets and data periods.
Co-Authors Arief Surya Lesmana Ferdiansyah Saputra Hadi Satria Ganefi