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Neva Satyahadewi
Universitas Tanjungpura Pontianak, Indonesia
Decision Sciences, Operations Research & Management Mathematics

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Optimal Mean-Semivariance Portfolio within Single Asset Class: Sortino Ratio Evaluation Britya Claudia; Evy Sulistianingsih; Neva Satyahadewi
Statistika Vol. 26 No. 2 (2026): Statistika
Publisher : Department of Statistics, Faculty of Mathematics and Natural Sciences, Universitas Islam Bandung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29313/statistika.v26i2.10131

Abstract

Abstract. Stock investment offers high return potential but also involves considerable risk. Portfolio formation helps manage risk through diversification. This study aims to construct an optimal stock portfolio and evaluate its performance based on downside risk using blue-chip banking stocks listed in the LQ45 Index during October 5, 2022 to February 5, 2025. The portfolio is constructed using the Mean Semivariance method, which focuses on downside risk without assuming a specific return distribution, and evaluated using the Sortino Ratio. The procedures include calculating realized and expected returns, semivariance and semicovariance, forming the semivariance–semicovariance matrix, determining optimal portfolio weights, and evaluating return, semivariance, semideviation, and performance. Semivariance measures downside risk in squared units, while semideviation is its square root and is expressed in the same unit as return. The results show optimal allocations of 75.65% in BBCA, 11.87% in BBRI, 7.59% in BBNI, and 4.89% in BMRI, with an expected return of 0.000101, portfolio semivariance of 0.000072, and a Sortino Ratio of 0.012. The positive Sortino Ratio indicates a positive excess return relative to the specified minimum acceptable return. However, without a benchmark or comparison portfolio, this value should be interpreted descriptively as a measure of risk-adjusted performance rather than evidence of outperformance.
Co-Authors Britya Claudia Evy Sulistianingsih