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Fantasia, Carina
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Humanities Decision Sciences, Operations Research & Management Electrical & Electronics Engineering Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media

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Analysis of Optimal Stock Portfolio Formation Using the Single Index Model Approach for Investment Decisions Sari, Dewi Manggar; Audina, Mutiara; Fantasia, Carina
Journal of International Conference Proceedings Vol 8, No 4 (2025): 2025 ICPM Hong Kong
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/jicp.v8i4.4332

Abstract

The aim of this research is to explore the composition that results in an optimal investment portfolio from stocks listed in the IDXQ30 index using the Single Index Model (SIM). This research Time Frame covers January 2021 to December 2024, with 14 consistently listed stocks identified as the initial sample. According to the calculation of Excess Return to Beta (ERB) and the determination of the cut-off point (C*), six stocks were selected as portfolio candidates, namely BMRI, BBCA, UNTR, PTBA, CPIN, and ACES. The final results presented in the optimal weighting table reveal that only four stocks are belong to the optimal portfolio, comprising BMRI, BBCA, UNTR, and PTBA. The greatest portion of the fund allocation was achieved by BMRI at 44.43%, followed closely by BBCA at 44.06%. In contrast, UNTR and PTBA contributed smaller weights of 7.33% and 4.18%, respectively. This composition indicates that the financial sector, represented by BMRI and BBCA, dominates the optimal portfolio, while other sectors provide additional diversification. These findings emphasize that stocks with the highest efficiency in generating returns relative to risk are prioritized in portfolio construction, thereby producing an allocation that balances return potential and risk exposure.
Co-Authors Audina, Mutiara Sari, Dewi Manggar