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All Journal eDimensi Arsitektur Petra Jurnal Ilmiah Mahasiswa Kelautan Perikanan Unsyiah Journal of Language, Literature, and Teaching International Journal of Quantitative Research and Modeling International Journal of Application on Economics and Business
Silvia Wijaya
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Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Engineering Environmental Science Languange, Linguistic, Communication & Media Physics Social Sciences

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Journal : International Journal of Quantitative Research and Modeling

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Optimal Portfolio Using Single Index Model (SIM) For Health Sector Stocks Wijaya, Silvia; Subartini, Betty; Riaman, Riaman
International Journal of Quantitative Research and Modeling Vol. 5 No. 1 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i1.591

Abstract

Investment is one of the fund management activities with the aim of obtaining future profits. In addition to profits, investors also need to consider the risks that will be faced by diversifying. Diversification is done by forming an optimal portfolio. This research aims to determine the proportion of stocks in the optimal portfolio and calculate the expected return and risk value of the optimal portfolio. The object used to form the optimal portfolio is health sector stock group for the period January 2020 - December 2022. The method used to form the optimal portfolio is Single Index Model (SIM). The results showed that there were 6 combinations of health sector stock in the optimal portfolio, such as IRRA, PRDA, SAME, SILO, MERK, and HEAL stocks of 8.94%, 9.24%, 9.34%, 11.92%, 27.15%, and 33.41% respectively with expected return of 2.68% and a risk value of 1.85%.
Co-Authors Betty Subartini Ekawati , Sanny Karina Karina Muhammad Syukran Riaman Riaman, Riaman Sayyid Afdhal El-Rahimi