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Irni Yunita
Universitas Telkom
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Journal : INTERNATIONAL JOURNAL OF ECONOMICS AND MANAGEMENT REVIEW

 1 
Optimization of Stock Portfolio Investment on the IDXHIDIV20 Index Using the Single Index Model and Markowitz Model Approach for Beginner Investors Hamudin, Piko; Yunita, Irni
INTERNATIONAL JOURNAL OF ECONOMICS AND MANAGEMENT REVIEW Vol 3 No 3 (2025): Current issue 8
Publisher : SMARTINDO

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58765/ijemr.v3i3.283

Abstract

Purpose - This study investigates the construction of optimal stock portfolios using the Single Index Model (SIM) and the Markowitz Mean-Variance Model (MM), applied to the IDX High Dividend 20 (IDXHIDIV20) index. With a growing number of novice investors in Indonesia, understanding which classical model offers better guidance for dividend-oriented investing is increasingly essential. Design/methodology/approach - A descriptive quantitative approach was used, employing weekly secondary data of 20 IDXHIDIV20 constituents from 2019 to 2024. The SIM was applied through regression-based estimations and excess return-to-beta ranking, while the Markowitz Model utilized a full variance-covariance matrix with Excel Solver optimization. Originality -  This research contributes empirical evidence to modern portfolio theory by comparing the effectiveness of SIM and MM in the context of novice investors in emerging markets. It also incorporates the relevance of sustainability factors through dividend strategies. Findings and Discussion - The Markowitz portfolio consistently outperforms the SIM portfolio in both return and risk dimensions, achieving an expected annual return of 23.56% with a standard deviation of 2.81%, compared to SIM's 22.96% return with 5.89% volatility. While the SIM offers practical simplicity for novice investors, the MM provides superior diversification through covariance-based optimization. These findings validate the importance of robust model selection in portfolio strategy. Conclusion - The Markowitz Model is preferable for investors with access to analytical tools and data due to its superior risk-return performance, while SIM remains a valuable approach for those with limited resources. The study enhances financial education and supports informed investment decisions for dividend-focused strategies in emerging markets.
Co-Authors Abdul Mukti Soma Adelia Nandira Maharani Adi Katon Pamungkas Adithya Yudha Agita Putra Pramana Agus Afrianingsih, Dwi Aisha Nur Izzati Aisha Nur Izzati Aldilla Iradianty Almira Iffa Fauzia Andini Pujasari Anggara Ramadhan Anggita Prameswari Anisah Firli Aprianto, Fadly Ayu Nur Rahmadhani Azizah, Reza Noor Bayu Aji Prasetyo Bella Salsabilla Damiao Maia, Graciano Andre Darussalam Darussalam Della Ferranti Della Ferranti, Della Dematria Pringgabayu Destyana, Devica Puteri Diva Rifayani Dwi Kurniawan, Dwi Dyah Ajeng Mulatsih Erie Febrian Fachrizal, Fiqhi Fadly Aprianto Fajar Sidiq Adi Prabowo Fajra Octrina Fiqhi Fachrizal Firmansyah, Fandi Firrisa Tsamara Munica Fitri Amanda Zuchrinata Gadis Arimbi Puspita Graciano Andre Damiao Maia Gushendri, Adzra Helga Engrasia Gustyana, Tieka Tri Kartika Hamudin, Piko Ihsan, TB Aria Maulana Irani, Annisa Salsabila Dwitha Jamhari Jamhari Kevin Krisna Khoirunnisa Az-Zahra Kishi Alandra Maghfirah Izani Desta Maria Apsari Sugiat Marwa Dewi Ahdiyati Salim Mauli Permata Sari Meuthia Rahmawati Milleniasari, Poeti Annisa Muhammad Azhari Muhammad Farhan Muhammad Farid Pratama Muhammad Iqbal Alamsyah Naurah Salsabila Naurah Salsabila Ramadhana Novemrian, Yandi Novita Bukit, Dian Nuraulia, Naifah Nurhakim, Eko Sanjaya Piamalia, Novita Nur Priyambodo, Muhammad Ganang Puspita*, Gadis Arimbi Putri, Devina Dianra Putri, Salsabila Fadila Rahmawati, Meuthia Ratna Lindawati Lubis Ray Burton Reza Noor Azizah Ria Ratna Ariawati Rina Indiastuti Rinaldi, Muhammad Adrian Daffa Nadino Rinaldo Silaban, Jeffry Frans Risanti, Sherly Nur Aulia Roderta Cahya Diputra Safitri Puji Lestari Sagung Desy Pratami, A.A Salma Salimah Sugiat, Maria Tiara Putri Nadiwa Trihandayani*, Deri Vanessa Eleanor Saaba Yudha, Adithya Yusoff, Yusliza Mohd