West Science Business and Management
Vol. 1 No. 05 (2023): West Science Business and Management

Constructing an Optimal Portfolio with a Single Index Model on the Shares of Bumn Companies Listed in the IDXBUMN20 Index on the Indonesia Stock Exchange

Bagus Wicaksono Kurniawan (UPN Veteran Yogyakarta)
C. Ambar Pujiharjanto (UPN Veteran Yogyakarta)
Nilmawati Nilmawati (UPN Veteran Yogyakarta)

Article Info

Publish Date
24 Dec 2023

Abstract

This study aims to determine the optimal portfolio using a single index model on the shares of state-owned companies listed in the IDXBUMN20 index on the Indonesia Stock Exchange. The population was 20 issuers and using purposive sampling, 13 issuers were obtained as samples. By using a single index model, the results show that 7 stocks make up the optimal portfolio with the proportion of funds as follows ANTM (27.52%), BBNI (24.02%), PTBA (17.86%), BMRI (15.08%), TINS (7.51%), BBRI (7.45%) and PGAS (0.56%). Measurement of portfolio performance using the Treynor method of 0.17233 is higher than market performance which has a value of 0.01441.

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Journal Info
West Science Business and Management
Website

Abbrev

wsbm

Publisher

Westscience Press

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

The Editors invite writers and experts to publish and share their ideas through scientific and empirical research in the field of Management and Business. The main objective of this publication is to improve theory, concept, and practice in the field of management and business. Dissemination of ...