International Journal of Global Operations Research
Vol. 5 No. 3 (2024): International Journal of Global Operations Research (IJGOR), August 2024

OPTIMIZATION OF PORTFOLIO PERFORMANCE ON THE JAKARTA ISLAM INDEX (JII) STOCK IN DECEMBER 2023 – MAY 204 USING THE MARKOWITZ MODEL

Rohman, Aletta Divna Valensia (Unknown)
Fatimah, Siti (Unknown)

Article Info

Publish Date
30 Aug 2024

Abstract

This research aims to optimize the performance of a stock investment portfolio on the Jakarta Islamic Index (JII) during the period from December 2023 to May 2024, using the Markowitz model. This model minimizes portfolio risk by considering expected returns and covariance between stocks. Historical data on stock returns in the JII during the research period will be used to calculate expected returns and covariance. Furthermore, the Markowitz model will be used to determine the optimal investment proportion for each stock in the portfolio. The results of this research are expected to provide information to JII stock investors about the optimal combination of stocks to achieve maximum returns with controlled risk.

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Journal Info
International Journal of Global Operations Research
Website

Abbrev

ijgor

Publisher

Indonesian Operations Research Association

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Mathematics

Description

International Journal of Global Operations Research (IJGOR) is published 4 times a year and is the flagship journal of the Indonesian Operational Research Association (IORA). It is the aim of IJGOR to present papers which cover the theory, practice, history or methodology of OR. However, since OR is ...