International Humanities and Applied Science Journal
Volume 5, Issue 1, 2022

ANALYSIS OF OPTIMAL PORTFOLIO PERFORMANCE USING MARKOWITZ MODEL AND SINGLE INDEX MODEL (CASE STUDY ON LQ45 INDICES)

Salsa Aldila (Universitas Mercu Buana)
Noor Prio Sasongko (Universitas Mercu Buana)

Article Info

Publish Date
19 Dec 2022

Abstract

This study aims to analyze performance of Markowitz Model and Single Index Model to construct optimal portfolio. Descriptive analysis method with quantitative approach is used in this study. Construction of optimal portfolio using historical daily data from the first semester of the study and evaluation of optimal portfolio performance using historical daily data form the second semester of the study. This study assumed that investment applied as the optimal portfolio constructed by both models. Therefore, performance evaluation both portfolios conducted on second semester of the study using Sharpe ratio, Treynor ratio, and Jensen’s Alpha. This study shows that there are no significance differences of optimal portfolio performance using Markowitz Model and Single Index Model.

Copyrights © 2022




Citation Download
RIS
EndNote, Reference Manager, ProCite
BibTex
Latex, Jabref
Original Source
Download Original
Google Scholar
Check in Google Scholar
Journal Info
International Humanities and Applied Science Journal
Website

Abbrev

ihasj

Publisher

Universitas Mercu Buana

Subject

Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Library & Information Science Social Sciences

Description

International Humanities and Applied Science Journal (IHASJ), published online version, is a peer-reviewed journal published three times a year (April, August, and December) by the International Class of Universitas Mercu Buana. IHASJ is intended to be the journal for publishing articles reporting ...