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Gunawan, Asmawi
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Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS Gunawan, Asmawi; Fajriyah, Rohmatul; Bimakasa, M Albarra; Untari, Siti Nirmala
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 4 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss4pp2363-2374

Abstract

In an investment, there will always be a return and risk, especially in the capital market in the form of stocks. The risk in an investment can be minimized by diversifying assets into several stocks to form a portfolio formation. Several models, such as the Single Index and Markowitz, can evaluate optimal portfolio formation. In this study we provide additional information and discourse on capital market studies and as the input for investors in making investment decisions in the form of stocks. The study shows that based on 25 companies, the Markowitz model gives 12 companies as the optimal portfolio with the largest proportion of funds owned by PT Bank Central Asia Tbk (BBCA), 82.22%. The portfolio of those 12 stocks can provide an expected return of 44.8% where its risk is about 13.77%. The Single Index model provides a formation based on 9 companies as the optimal portfolio with the largest proportion of funds owned by -again- PT Bank Central Asia Tbk (BBCA) which is 66.23%. The portfolio of these nine stocks can provide the expected return of 1.68% and its risk is 0.43%. The ratio of risk and return from each model justifies that the Single Index model gives better portfolio formation. This result should be further compared with other stock indexes, nationally and globally, and also needs to be compared with the period after the pandemic.
Co-Authors Bimakasa, M Albarra Rohmatul Fajriyah Untari, Siti Nirmala