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All Journal Journal Research of Social Science, Economics, and Management IIJSE
Yuliani, Poppy
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Economics, Econometrics & Finance Environmental Science

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Portfolio Efficiency Analysis of JAPFA and Indofood CBP Using the Efficient Frontier Approach: Implications for Food Sector Policy Yuliani, Poppy; Pamungkas, Bagus; Albart, Nicko
Journal Research of Social Science, Economics, and Management Vol. 4 No. 10 (2025): Journal Research of Social Science, Economics, and Management
Publisher : Publikasi Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59141/jrssem.v4i10.842

Abstract

The Indonesian capital market, particularly the food sector, is undergoing significant changes due to strategic government policies such as the free lunch program, which directly influence market dynamics and investor behavior. This study addresses the problem of how investors can optimize portfolio efficiency between two dominant food sector stocks, JAPFA and Indofood CBP (ICBP), under regulatory uncertainty. The primary objective is to identify an optimal portfolio allocation that balances risk and return using the Efficient Frontier approach developed by Markowitz (1952). Employing a quantitative descriptive method, daily stock price data from January to December 2024 were analyzed to simulate portfolio weights, expected returns, and risks. Results reveal a very low correlation (0.085) between JAPFA and ICBP, indicating strong diversification benefits that minimize portfolio risk without sacrificing returns. An optimal portfolio allocation around 30% JAPFA and 70% ICBP is recommended to maximize investment efficiency. The study's findings have important implications for investors, portfolio managers, and policymakers by demonstrating how diversification in the food sector can hedge against market volatility driven by government interventions. This research enriches the literature on portfolio management by integrating policy-driven market conditions. Future research should explore multi-asset portfolios, incorporate macroeconomic factors, and apply advanced optimization techniques such as artificial intelligence to better navigate complex and evolving market environments.
Portfolio Efficiency Analysis of UNVR and SMGR Using the Efficient Frontier Approach: A Comparative Study in the Framework of Indonesia’s Green Economy Commitment Yuliani, Poppy; Hardiansyah, Hardiansyah; Albart, Nicko
Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE) Vol 8 No 3 (2025): Sharia Economics
Publisher : Sharia Economics Department Universitas KH. Abdul Chalim, Mojokerto

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31538/iijse.v8i3.8067

Abstract

This research examines the efficiency of investment portfolios comprising PT Unilever Indonesia Tbk (UNVR) and PT Semen Indonesia Tbk (SMGR) by applying the Efficient Frontier method, contextualized within Indonesia’s commitment to a green economy. The study’s novelty lies in its integration of quantitative financial modeling with the broader agenda of low-carbon national development. The primary aim is to assess and compare the risk-return characteristics of UNVR and SMGR stocks and to identify the most optimal portfolio composition. The analysis utilizes daily stock price data from 2024 and includes calculations of returns, risk (standard deviation), the Sharpe ratio, and stock correlation. Empirical findings indicate that UNVR yields an expected return of -0.24% with a 2.50% standard deviation, while SMGR shows an expected return of 0.26% with a 2.17% standard deviation. The correlation coefficient of 0.081 between the two stocks reflects a weak relationship, highlighting the potential for effective diversification. The combined portfolio demonstrates superior efficiency in balancing risk and return compared to holding individual stocks. These results suggest that investors can align sustainability goals with diversification strategies to advance Indonesia’s green economic objectives.
Co-Authors Albart, Nicko Hardiansyah Hardiansyah Pamungkas, Bagus