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All Journal International Journal of Quantitative Research and Modeling
Emmanuel Parulian Sirait
Mathematics Undergraduate Study Program, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jatinangor, Indonesia
Computer Science & IT Decision Sciences, Operations Research & Management Engineering Environmental Science Physics

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Journal : International Journal of Quantitative Research and Modeling

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Investment Portfolio Optimization Model Using The Markowitz Model Emmanuel Parulian Sirait; Yasir Salih; Rizki Apriva Hidayana
International Journal of Quantitative Research and Modeling Vol 3, No 3 (2022)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v3i3.344

Abstract

The stock portfolio is related to how someone allocates several shares in various types of investments so that the results achieve maximum profit. By implementing a diversification system or portfolio optimization on several stocks, investors can reduce the level of risk and simultaneously optimize the expected rate of return. This study aims to determine which stocks listed on the Indonesia Stock Exchange (IDX) and included in the portfolio for the 2021-2022 period are eligible to be included in the optimal portfolio and to determine the proportion of funds for each share in the formation of the optimal portfolio. The population in this study are all shares included in the Indonesia Stock Exchange (IDX) listed on the Indonesia Stock Exchange (IDX) for the 2021-2022 period. The sample of this research is five stocks that are candidate portfolios. The sampling method uses a purposive sampling method with the criteria of 5 stocks with the highest positive ratio. The population in this study was all 30 companies included in the IDX30, while the samples were five companies. Data were analyzed using a mean-variant optimization model with a research duration between May 2021 and May 2022. Based on the results of the investment portfolio optimization analysis on the 5 (five) selected stocks, this study shows that, out of 23 stocks, five stocks are eligible to enter the optimal portfolio with their respective proportions, namely PT Adaro Energy Indonesia Tbk (ADRO) 20%, PT Astra International Tbk (ASII) 26%, PT Merdeka Copper Gold Tbk (MDKA) 10%, PT XL Axiata Tbk (EXCL) 19%, PT Bukit Asam Tbk (PTBA) 25%. The portfolio of these stocks generates an expected return of 0.00217 at a risk level of 0.00022. It is hoped that this research can be helpful to add to the literature on investment optimization models, especially the concentration of Mathematics in Finance, and serve as an additional reference for further research, as well as an alternative for investors in optimizing investment portfolios.
Application of Single Index Model to Determine Optimal Stock Portfolio (A Case Study on IDX30 in 2022) Emmanuel Parulian Sirait; Kankan Parmikanti; Riaman Riaman
International Journal of Quantitative Research and Modeling Vol 4, No 3 (2023)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v4i3.493

Abstract

Stock represent proof of ownership or participation of an individual or entity in a company. Investors gain profits from shares through capital gains and dividends. The difficulty in selecting an optimal composition of a stock portfolio is a major concern for investors. This study aims to determine the optimal composition of a stock portfolio, calculate the expected returns in the future, and assess the potential risks that investors may encounter later on. The data for this research consists of stocks listed on the IDX30 Index throughout the year 2022, which consistently appear in every six-month evaluation. The analysis is conducted using a single-index model. Based on the findings of this study, the following ten stocks are identified as the optimal portfolio constituents: KLBF with a weight of 17.20%, BBRI with a weight of 17.18%, BBCA with a weight of 17.08%, PTBA with a weight of 12.46%, BBNI with a weight of 9.89%, UNVR with a weight of 8.33%, INKP with a weight of 8.66%, ICBP with a weight of 5.56%, BMRI with a weight of 3.25%, and UNTR with a weight of 0,39%. The expected return from the formed portfolio is 0,1% per day, with a corresponding risk of 0,004%.
Co-Authors Kankan Parmikanti Riaman Riaman Rizki Apriva Hidayana Yasir Salih