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All Journal Journal of Tropical Soils Agricore: Jurnal Agribisnis dan Sosial Ekonomi Pertanian Unpad JEPA (Jurnal Ekonomi Pertanian dan Agribisnis) Agrin : Jurnal Penelitian Pertanian Journal of Agribusiness and Community Empowerment (JACE) JOURNAL OF SCIENCE AND SOCIAL RESEARCH Jurnal Pembangunan Nagari Journal Of Human And Education (JAHE) Journal of Trends Economics and Accounting Research Jurnal Ilmiah SOSIO AGRIBIS Jurnal Pengabdian Masyarakat Bidang Sosial dan Humaniora AGRIEKSTENSIA Jurnal AGRISEP: Kajian Masalah Sosial Ekonomi Pertanian dan Agribisnis International Journal of Economic, Technology and Social Sciences (Injects) Ekonomipedia: Jurnal Ekonomi Manajemen dan Bisnis
Roni Afrizal
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Religion Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Public Health Social Sciences Veterinary Other

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Journal : JOURNAL OF SCIENCE AND SOCIAL RESEARCH

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ANALISIS PEMBENTUKAN PORTOFOLIO SAHAM OPTIMAL SEKTOR PERTANIAN MENGGUNAKAN MODEL MARKOWITZ Putra, Vicka Pramudya; Afrizal, Roni; Arnayulis, Arnayulis; Ariliusra, Azzukhruf
JOURNAL OF SCIENCE AND SOCIAL RESEARCH Vol 9, No 1 (2026): February 2026
Publisher : Smart Education

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54314/jssr.v9i1.5794

Abstract

Abstract: The purpose of this study to construct an optimal stock portfolio of companies in the agricultural sector listed on the Indonesia Stock Exchange (IDX) using the Markowitz portfolio model. This model is applied to optimize the trade-off between expected return and risk through the mean-variance framework. The data employed in this study consist of secondary data in the form of closing stock prices of six agricultural sector companies. The analytical procedures include the calculation of return, expected return, variance, standard deviation, covariance, and correlation among stocks, as well as the determination of optimal portfolio weights. The findings indicate that four stocks constitute the optimal portfolio, namely NSSS with a proportion of 57.79%, TAPG at 25.56%, SMAR at 11.55%, and STAA at 5.99%. The resulting optimal portfolio yields an expected return of 0.43% with a risk level of 0.01866, which is lower than the individual risk of each stock included in the optimal portfolio. These results demonstrate that diversification within agricultural sector stocks is effective in forming an efficient portfolio that achieves an optimal balance between risk and return. Keywords: Optimal Portfolio; Markowitz Model; Agriculture Sector Stock; Risk and Return. Abstrak: Penelitian ini bertujuan untuk membentuk portofolio saham optimal pada perusahaan sektor pertanian yang terdaftar di Bursa Efek Indonesia (IDX) menggunakan model portofolio Markowitz. Model ini digunakan untuk mengoptimalkan hubungan antara expected return dan risiko melalui pendekatan mean-variance. Data yang digunakan merupakan data sekunder berupa harga saham penutupan enam perusahaan sektor pertanian. Metode analisis meliputi perhitungan return, expected return, varians, standar deviasi, kovarians, dan korelasi antar saham, serta penentuan proporsi portofolio optimal. Hasil penelitian menunjukkan bahwa empat saham membentuk portofolio optimal, yaitu NSSS dengan proporsi 57,79%, TAPG sebesar 25,56%, SMAR sebesar 11,55%, dan STAA sebesar 5,99%. Portofolio optimal yang terbentuk menghasilkan expected return sebesar 0,43% dengan tingkat risiko sebesar 0,01866, dimana tingkat risiko tersebut di bawah risiko dari masing-masing saham individual pembentuk portofolio optimal. Hasil ini menunjukkan bahwa diversifikasi saham sektor pertanian mampu menghasilkan kombinasi portofolio yang efisien dengan tingkat risiko yang relatif rendah dan return yang optimal. Kata Kunci: Portofolio Optimal; Model Markowitz; Saham Sektor Pertanian; Risiko dan Return.
Co-Authors . HUSNAIN Aflizar, . Alfikri Apriyanto, Apriyanto Ariliusra, Azzukhruf Arnayulis, Arnayulis Away, Sischa Febriani Yamesa Azzukhruf Ariliusra Beni Satria Berliana, shinta Candra, Delni Alek Chaniago, Yona Darnetti Darnetti Fahriansyah, Fahriansah Fitri, Melani Anisa Hanapi, Dedi Harahap, Heri Faisal Heri Faisal Harahap Heri Faisal Harahap Hidayat, Luthfy Husna, Giva Nivatul Ibnusina, Fedri Idowu, Alarima Cornelius Indria Ukrita Irawan, Ferdi Mahkota Jamaluddin Jamaluddin John Nefri Kumbara, Kumbara Masunaga, Tsugiyuki Mega Amelia Putri, Mega Amelia Muhammad Irsyad Syaifulloh Akmal Muzakir, . Muzakkir, . Nefri, John Nofrianil, Nofrianil Pramudya Putra, Vicka Putra, Randi Maulika Rahman, Arzu Rahman, Muhammad Azadur Satria, Puja Silfia Silfia, Silfia Siregar, Masro Syafri, Edi Trifebriana, Indah Ukrita, Indria Veronice Azzukhruf Ariliusra Veronice Veronice Vicka Pramudya Putra Winarni, Intan Permata Yelfiarita, Yelfiarita Yuliandri, Yuliandri zahra, mezi hanifah Zendato, Christyn Frizz