A Comparative Optimal Portfolio Analysis on IT Sector

2021 ◽  
Vol 09 (01) ◽  
pp. 41-48
Author(s):  
Aditya Lanjewar
Keyword(s):  
Portfolio Analysis ◽  
Optimal Portfolio

scholarly journals Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

2022 ◽  
Vol 10 (8) ◽  
pp. 188-199
Author(s):  
Yunan Najamuddin ◽  
Neni Meidawati ◽  
Nahar Savira Putri ◽  
Yuni Nustini ◽  
Muamar Nur Kholid
Keyword(s):  
Model Test ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Expected Return ◽  
Purposive Sampling ◽  
Index Model ◽  
Single Index Model

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.  

scholarly journals STOCK PORTFOLIO ANALYSIS USING MARKOWITZ MODEL

2020 ◽  
Vol 1 (1) ◽  
pp. 47-58
Author(s):  
Indah Nur Nur Safitri ◽  
Sudradjat Sudradjat ◽  
Eman Lesmana
Keyword(s):  
Linear Programming ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Diversification Strategy ◽  
Non Linear Programming ◽  
Markowitz Model ◽  
Non Linear ◽  
Equity Ratio ◽  
Stock Portfolio ◽  
Selection Of

A common problem that often occurs in investment is the selection of the optimal portfolio according to the wishes of investors. This thesis ueds the Markowitz Model as a basis to formed a model to choose the optimal portfolio that provided the lowest risk. Efforts to minimize risk were carried out by conducting a diversification strategy. After the selection of several companies with the criteria of capitalization value and DER (Debt Equity Ratio), a combination of stocks is formed to form a portfolio. The formed portfolio was then analyzed to determine the optimal proportion of each stock. Using the Markowitz model, which is then solved by Non Linear Programming, an optimal portfolio is obtained with the proportion of each stock minimizing risk. In general, the results of this analysis indicate that portfolios with more stocks will produce lower risks compared to portfolios with fewer stocks, thus providing optimal diversification solutions, namely portfolios with members of five stocks with optimal risk of 0.886%.

scholarly journals ANALISIS PORTOFOLIO SAHAM SYARIAH PADA JAKARTA ISLAMIC INDEKS PADA BURSA EFEK JAKARTA

2005 ◽  
Vol 4 (2) ◽  
Author(s):  
Poerwanto . ◽  
Heru Sylvanata
Keyword(s):  
Capital Market ◽  
Historical Data ◽  
Stock Exchange ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Security Market ◽  
Risk And Return ◽  
Good Investment ◽  
The Capital Market

Commonstock portfolio analysis was important contributing to determine a good investment in the capital market. There was a way to know the optimal expected risk and return of the stock.    The purpose of this research for knowing level of commonstock Beta that listed in Jakarta Islamic Index and for guidance diversification process and find the optimal portfolio for the member of this combination.Based on analysis of commonstock historical data, we obtain 5 stocks with highest beta and above security market line, therefore this stocks place as portfolio member. We combine these five stocks with combination equation and resulting in 26 combinations. By using indifferent curve tools, we obtain 4 efficient portfolios.The result of this study were 4 optimal portfolio, which are: (1) Combination of 2 stocks, UNTR and BRPT, that give 12,72222 return and 19,999994 risk, (2) Combination of  3 stocks, UNTR, BRPT, PTBA, that give 9,3586% return and 12,4609% risk, (3) Combination of 3 stocks SMGR, UNTR, and BRPT that give 3,930% return and 6,325% risk, (4) Combination of 3 stocks, SMGR, AALI, and UNTR, that give 3,930 % return and 6,325% risk.This research can be used as reference for investor or potential investor in syariah stock exchange regarding of less information about stocks in the market today.

scholarly journals Stock Investment Portfolio Analysis with Single Index Model

2020 ◽  
Vol 3 (2) ◽  
Author(s):  
Yasir Maulana
Keyword(s):  
Interest Rates ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Share Price ◽  
Residual Variance ◽  
Share Prices ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment

In order to evaluate an optimal portfolio, an important step that investors or investment managers is portfolio analysis. In stock portfolio analysis, methods that can be used include the Markowitz approach and the Single Index Model. This study aims to apply the Single Index Model in finding the beta value of an efficient portfolio line, so that investors can determine the stocks and the proportion of funds needed to form an optimal portfolio. In this study, the data sources used were 1) market share price index that represents market factor or market data, 2) SBI interest rates that represents risk free (rf) and 3) The share prices of PT Ace Hardware Indonesia Tbk, PT Indocement Tunggal Perkasa Tbk and PT Matahari Putra Prima Tbk. The weight of each share in the active portfolio (Wi0) at Active Pf A 1.0000 is ACES of 0.1729, INTP of 0.0460 and MPPA of 0.7811. Then the alpha of the ACES active portfolio is 0.0051, INTP is 0.0002 and the MPPA is 0.0184. Then the calculation results show the residual variance in the active ACES portfolio is 0.0041, INTP is 0.0001 and MPPA is 0.0147. The variance of the Optimal Risky Portfolio of the variance index portfolio and the residual variance of the active portfolio is 0.1054.

scholarly journals Metode Penentuan Portofolio Optimal Menggunakan Model Indeks Tunggal Sharpe Saham-Saham LQ45 Tahun 2019

2020 ◽  
Vol 1 (2) ◽  
pp. 68
Author(s):  
Wibisono Hardjopranoto
Keyword(s):  
Portfolio Management ◽  
Economic Value ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Characteristic Line ◽  
Markowitz Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Characteristic

Abstrak--Konstruksi portofolio optimal menjadi fokus perhatian dan semakin menantang bagi manajemen investasi karena pada umumnya investor bermotif untuk memaksimalkan economic value-nya dengan memainkan peran dua variabel utamanya, imbal hasil (return) dan risiko (risk). Single Index Model(SIM) William Sharpe (1963) merupakan model yang sederhana terutama jika dibandingkan dengan model Markowitz (1952), terutama karena pertimbangan jumlah variabel masukannya. Model Markowitz dikatakan memiliki keterbatasan praktis serius; model Sharpe menyederhanakannya (http://www.economicsdiscussion.net/portfolio-management/theories-portfolio-management/sharpe-theory-of-portfolio-management-financial-economics/29763 [r. 07/05/20]).Penelitian ini bermaksud menggambarkan portofolio optimal seperti apa yang dapat dibentuk dari saham-saham LQ45 tahun 2019 menggunakan SIM tersebut. Hasilnya memperlihatkan 27 saham LQ45 terpilih dari 45 saham yang pantas menjadi anggota portofolio optimal dalam pembobotan mulai dari bobot yang tertinggi ke bobot terendah. Dengan tetap menyadari sepenuhnya bahwa SIM hanya menggunakan indeks (pasar) sebagai satu-satunya faktor pembentuk risiko berinvestasi,penerapan model ini memberikan pembelajaran yang amat berharga justru karena kesederhanannya sehingga mampu memberikan gambaran yang jelas dan dengan demikian tetap perlu dipelajari sebagai pengetahuan dasar dalam Mengelola Portofolio/ Investasi. Kata kunci: Sharpe’s Single Index Model, Portfolio Analysis, Optimal Portfolio Con-struction, Risk Characteristic Line. Abstract--Optimal portfolio construction is the focus of attention and is increasingly challenging for investment management because in general investors are motivated to maximize their economic value by playing the role of two main variable, return and risk. William Sharpe’s (1963) Single Index Model (SIM) is a simple model especially when compared to the Markowitz model (1952), mainly because of the consideration of the number of input variables. The Markowitz model is said to have serious practical limitations; the Sharpe model simplifies it (http://www.economicsdiscussion.net/portfolio-management/ theories-portfolio-management/sharpe-theory-of-portfolio-management-financial-econo-mics/29763 [r. 07/05/20]). This study intends to describe what optimal portfolio can be formed from LQ45 shares in 2019 using the SIM. The results show 27 selected LQ45 shares from 45 shares that deserve to be members of the optimal portfolio in weighting starting form the highest weight to the lowest weight. By being fully aware that SIM uses only the index (market) as the sole factor for investment risk, the application of this model provides valuable learning precisely because of its simplicity so as to provides a clear picture and thus need to be learned as basic knowledge in Managing Portfolio/ Investments. Keywords: Sharpe’s Single Index Model, Portfolio Analysis, Optimal Portfolio Con-struction, Risk Characteristic Line.  

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