Optimal Portfolio Analysis Using Single index Model  In combination with Stock Index:  Indonesia Stock Exchange

Deni Wahyu Kusuma; Christina Tri Setyorini; Hijroh Rokhayati

doi:10.30595/ratio.v5i2.21702

Optimal Portfolio Analysis Using Single index Model In combination with Stock Index: Indonesia Stock Exchange

Authors

Deni Wahyu Kusuma Universitas Jendral Soedirman
Christina Tri Setyorini Universitas Jendral Soedirman
Hijroh Rokhayati Universitas Jendral Soedirman

DOI:

https://doi.org/10.30595/ratio.v5i2.21702

Keywords:

Optimal Portfolio; Single Index Model

Abstract

This study aims to determine the best optimal portfolio formation method using a single index model calculation on the Indonesia Stock Exchange. This research uses 3 listed stock indices namely IDX30, IDXHIDIV20, and SRI-KEHATI. This research is descriptive quantitative with data collection techniques in the form of literature studies by studying journals, books and literature that have relevance to research. The sample of this study was obtained using purposive sampling technique with criteria that have been considered by the researcher. The type of data used is secondary data. This study uses two stages in analyzing the formation of the optimal portfolio, namely partial analysis on each index and in combination using the three stock indices. The results showed that the simulation of optimal portfolio formation with the highest return was obtained when the analysis was carried out jointly on the three stock indices with a value of 9.07%.

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Published

2024-07-29

How to Cite

Kusuma, D. W., Tri Setyorini, C., & Rokhayati, H. (2024). Optimal Portfolio Analysis Using Single index Model In combination with Stock Index: Indonesia Stock Exchange. Ratio : Reviu Akuntansi Kontemporer Indonesia, 5(2), 80–89. https://doi.org/10.30595/ratio.v5i2.21702

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Vol. 5 No. 2 (2024): Reviu Akuntansi Kontemporer Indonesia

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