Journal of Economic, Bussines and Accounting (COSTING)
Vol 7 No 4 (2024): Journal of Economic, Bussines and Accounting (COSTING)

OPTIMAL PORTOFOLIO FORMATION WITH SINGLE INDEX MODEL AND MARKOWITZ FOR COMPANIES LISTED ON SRI-KEHATI

Annisa Agustina (Institute of Business & Informatics (IBI) Kosgoro 1957)
Prisila Damayanty Damayanty (Institute of Business & Informatics (IBI) Kosgoro 1957)



Article Info

Publish Date
09 Jun 2024

Abstract

ABSTRACT This research is a quantitative research that aims to determine the optimal portofolio stock formation in companies listed on the SRI-KEHATI Index consistently with the Single Index Model approach and the Markowitz Model. The samples obtained using the purposive sampling technique are 13 companies with the 2018-2021 period. The data analysis method used in this study is the Shapiro-Wilk Normality test and the Independent Sample t-test. The results showed that the Single Index Model formed 4 stocks, namely BBRI, PGAS, SMGR, and WIKA. Whereas the Markowitz Model produces 5 shares, namely BBNI, BBRI, BMRI, KLBF, and TLKM. The formed portofolio candidates have positive return and risk of optimal stock portofolios but have different results. keywords: Single Index Model, Model Markowitz, Optimal Portofolio

Copyrights © 2024






Journal Info

Abbrev

COSTING

Publisher

Subject

Economics, Econometrics & Finance

Description

COSTING : Journal of Economic, Bussines and Accounting reviewed covers theoretical and applied research in the field of Economics, Business and Accounting. Priority is given to those articles which satisfy the main scope of the journal, and have an impact in the research areas of interest. ...