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All Journal Jurnal Ekonomi & Studi Pembangunan International Journal of Islamic Economics and Finance (IJIEF) Riwayat: Educational Journal of History and Humanities Jurnal Pengabdian Tangerang Selatan Jurnal Pengabdian dan Pemberdayaan Masyarakat (ABDI DAYA KU)
Andriani, Prima
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Humanities Economics, Econometrics & Finance Education Social Sciences Other

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Journal : Riwayat: Educational Journal of History and Humanities

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Implementation of the Markowitz Model in Efficient Portfolio Construction: Analysis of the Investor33 Index After the Major Evaluation of 2025 Kharismawan, Bagus; Andriani, Prima
Riwayat: Educational Journal of History and Humanities Vol 8, No 3 (2025): July, Social Studies, Educational Research and Humanities Research.
Publisher : Universitas Syiah Kuala

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24815/jr.v8i3.48152

Abstract

This study aims to create an optimal portfolio of stocks included in the Investor33 index, an index created and managed by the Indonesia Stock Exchange in collaboration with the media company PT Media Investor Indonesia, using the Markowitz model approach. The portfolio optimization aims to provide an alternative for rational investment decision-making based on a balance between stock returns and risk. The data used for portfolio construction is monthly return data from May 2022 to May 2025 for 33 stocks in the Investor33 index, which were evaluated by the Indonesia Stock Exchange in May 2025 and effective from June 2 to November 28, 2025. Based on the calculations, nine stocks form the optimal portfolio: BNGA, INDF, ICBP, PGAS, AKRA, BRIS, ANTM, AMRT and MYOR. This portfolio provides an estimated return of 1.316% per month with a risk level (variance) of 0.151%. These results indicate that the mean-variance approach in the Markowitz Model remains relevant for forming efficient portfolios for the leading stock groups in the Indonesian capital market.
Co-Authors Angriani ZN, Sefrimel Gustaji, Rhamdalia Fanny Juwita, Tia Permata Kharismawan, Bagus Kusworo Kusworo Nursafitri, Sintia Putranto, Ivan Setyorini, Noni Shibghatalloh, Ahmad Hafiyyan Utama, Radikal Yudha Wuri, Wulan Wiyat Zn, Sefrimel Angriani