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All Journal International Journal of Accounting, Management, and Economics Research : Ijamer
Siti Fitriyyatul Jamilah
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Economics, Econometrics & Finance Social Sciences Other

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Optimizing Portfolios Using Single Index Models and Mean-Variance From the Indonesia Stock Exchange: IDX30 Siti Fitriyyatul Jamilah; Dwi Eko Waluyo; Amron Amron
Jurnal Telekomunikasi dan Informatika Lbh. 2 Àir. 2 (2024): December : International Journal Of Accounting, Management, And Economics Rese
Publisher : Fakultas Ekonomi dan Bisnis Universitas Dian Nuswantoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56696/ijamer.v2i2.132

Abstract

The purpose of the study was to determine the optimal portfolio composition using the Single Index Model and Mean-variance Model methods, then the results of the two methods were compared. Data collection was carried out using secondary data from stocks that make up the IDX30 index for the 2013-2022 period. The research method is a comparative analysis of the returns and risks obtained from the Single Index Model portfolio then compared with the return and risk of the portfolio using the Mean-variance Model with 5 portfolio combinations. The comparison is carried out by comparing the coefficient of variance of each resulting portfolio composition. The comparison is carried out by comparing the coefficient of variance of each resulting portfolio composition. The analysis results show that the portfolio produced by the Mean-Variance Model has better returns and risks than the Single Index Model.
Co-Authors Amron Amron Dwi Eko Waluyo