scholarly journals An Analytical Study on Harry Markowitz Portfolio Construction of Selected Industries

2019 ◽  
Vol 15 (4) ◽  
pp. 99
Author(s):  
Vishweswarsastry V.N. ◽  
Binoy Mathew
Keyword(s):  
Decision Making ◽  
Analytical Study ◽  
Primary Objective ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Portfolio Risk ◽  
Expected Return ◽  
Construction Technique ◽  
Risk And Return ◽  
Markowitz Portfolio

Risk and return are two faces of the same coin, Investments made by the investors are certain whereas the returns expected are uncertain when measured known as risk. The primary objective of the paper is to study the risk and return measures available for decision making, secondly to apply the techniques of beta and standard deviation for analyzing the risk and expected return for analyzing the return and to construct an optimal portfolio by applying Harry Markowitz portfolio construction technique. The Methodology applied is analytical and descriptive and application of Harry Markowitz portfolio Risk and Return techniques for the construction of an optimal portfolio.

ANALISIS PORTOFOLIO INVESTASI PADA SAHAM LQ45 DENGAN METODE MEAN VARIAN SATU KONSTRAIN

Jurnal Varian ◽  
2018 ◽  
Vol 1 (2) ◽  
pp. 22-29
Author(s):  
Gilang Primajati
Keyword(s):  
Capital Markets ◽  
Minimum Variance ◽  
Return Rate ◽  
Optimal Portfolio ◽  
Portfolio Diversification ◽  
Portfolio Risk ◽  
Expected Return ◽  
Positive Weight ◽  
The Mean

In the capital markets, especially the investment market, the establishment of a portfolio is something that must be understood by investors. Portfolio formation by investors to maximize profits as much as possible by minimizing the risk of losses that may occur. Portfolio diversification is defined as portfolio formation in such a way that it can reduce portfolio risk without sacrificing returns. Optimal portfolio with efficient-portfolio mean criteria, investors only invest in risk assets only. Investors do not include risk free assets in their portfolios. The efficient variance portfolio is defined as a portfolio that has minimum variance among the overall possible portfolio that can be formed, at the same expected return rate. The mean method of one constraint variant can be used as the basis for optimal portfolio determination. The shares of LQ-45 used are shares of AALI, BBCA, UNVR, TLKM and ADHI. AALI shares received a positive weight of 7%, BBCA 48%, UNVR 16%, TLKM 26% and ADHI 3%

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

scholarly journals PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION

2021 ◽  
Vol 10 (2) ◽  
pp. 65
Author(s):  
NI KADEK NITA SILVANA SUYASA ◽  
KOMANG DHARMAWAN ◽  
KARTIKA SARI
Keyword(s):  
Optimal Portfolio ◽  
Stock Index ◽  
Mean Absolute Deviation ◽  
Portfolio Risk ◽  
Investment Portfolio ◽  
Expected Return ◽  
Absolute Deviation ◽  
Index Data ◽  
The Mean ◽  
Deviation Method

Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.

scholarly journals Markowitz Model in The Analysis of Optimal Portfolio Establishment on Jakarta Islamic Index (JII) in Indonesian Stock Exchange

2020 ◽  
Vol 8 (2) ◽  
pp. 190-201
Author(s):  
Anwar Ramli ◽  
Anwar ◽  
Indah Lestari Anwar
Keyword(s):  
Data Analysis ◽  
Data Collection ◽  
Sampling Method ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Markowitz Model

This study aims to know the optimal portfolio establishment using Markowitz model on Jakarta Islamic Index (JII) stocks in the period of December 2013-May 2019. The population of this study consisted of the company stocks on Jakarta Islamic Index (JII) in the period of  December 2013-May 2019, and there were 59 stocks. While the study sample consisted of 14 company stocks and selected based on purposive sampling method. Data collection used in this study using documentation. Data analysis used in this study using the stages of Markowitz model and started collecting the close price until an optimal portfolio establishment. The result of this study showed that there were 8 company stocks included in the optimal portfolio. Namely AKRA (5,01%), ICBP (9,92%), INDF (3,75%), SMGR (8,61%), TLKM (29,01%), UNTR (20,30%), UNVR (20,88%), WIKA (2,53%). The expected return of the portfolio of 0,84%. Therefore, portfolio risk of 3,16%and smaller than the risk of individual stocks in the research sample.

scholarly journals Analisis Portofolio Optimal Saham Indeks Lq-45 Dengan Model Indeks Tunggal Di Bursa Efek Indonesia

2017 ◽  
Vol 5 (2) ◽  
Author(s):  
ALMUNFARIJAH ALMUNFARIJAH
Keyword(s):  
Central Asia ◽  
Stock Returns ◽  
Optimal Portfolio ◽  
Risk Level ◽  
Portfolio Risk ◽  
Expected Return ◽  
Minimum Risk ◽  
High Return ◽  
The Difference ◽  
Portfolio Return

Rational investors  invest in efficient stocks, the stocks that have  high return with minimum risk. The sample in this study using the stocks in the group LQ-45 index during the period February 2013-July 2013. The purpose of the study was to establish the optimal portfolio and to know the difference between stock returns and the risk of candidate and non-candidate portfolirn On Equity (ROE).The results showed there were 15 stocks that become candidate in a portfolio out of 45 stocks studied with the cut of point value -2.7-7. Optimal portfolio is formed by 15 stocks that have excess returns to beta (ERB) which is greater than the risk-free return (Rf).The largest proportion of funds owned by PT Kalbe FarmaTbk i.e 16,2 %, and the smallest proportion of the funds owned by PT Bank Central Asia Tbk i.e 0,1101288%. Rational investor would prioritize to invest in securities that have a the largest proportion of the funds, because of that large proportion of funds so we will be getting higher profit with the certain risks as well.Investors that will invest theirs funds into these 15 companies that have formes this optimal portfolio would get portfolio profit 2,1-7 and portfolio risk -2.7-7. That portfolio profit is not far different with the expected return of each individual stock. So despite using LQ-45 stocks that have the biggest marketing capitalization and the most liquid infact it has not guarante that investors would gain their expectation of getting portfolio return as what they expected.Risk portfolio of 2,1-7 is smaller than the risk level of each individual stock . Although the establishment of the optimal portfolio yield expected return of portfolio which is not much different with thereturn of individual stock,but still provide the benefit of diversification that is beneficial for reducing the risk of each individual stock

scholarly journals PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS IDX30 DI BEI

2019 ◽  
Vol 8 (6) ◽  
pp. 3814
Author(s):  
Nyoman Candra Tri Wahyuni ◽  
Ni Putu Ayu Darmayanti
Keyword(s):  
Optimal Portfolio ◽  
Risk Level ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment ◽  
Portfolio Return

Stocks are included in determination of the optimal portfolio along with the proportion of each stock and to know how much portfolio return and risk investors will get in the future. The study was conducted on the IDX30 Index on the IDX for the period August 2016 - January 2018. The population of this study used shares that were incorporated in IDX30 Index with sample used was 25 IDX30 Index stocks during the study period. The study uses the optimal portfolio model, namely the Single Index Model The results of the study show that from 25 stocks there are 8 stocks that can form an optimal portfolio with their respective proportions, consisting shares of ADRO, BBC, BBNI, BBRI, BMRI, GGRM, PWON, and UNTR. These shares provide a portfolio expected return of 3.25 percent with a portfolio risk level of 0.07 percent. Keywords: Stock Investment, Return, Risk, Optimal Portfolio, Single Index Model

Analisis Pembentukan Portofolio Optimal dengan Menggunakan Model Indeks Tunggal (Studi pada Saham LQ45 Periode 2014-2016)

2019 ◽  
Vol 4 (2) ◽  
pp. 153
Author(s):  
Wiyuda Hadi Pratama ◽  
Taufik Akbar
Keyword(s):  
Research Method ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Quantitative Approach ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Descriptive Research ◽  
Single Index Model

The purpose of this study is to find out the optimal portfolio stocks formed through the Single Index Model. The research method used in this study is a descriptive research method with a quantitative approach. While the sampling technique uses a purpose sampling technique, with the criteria of stocks entering LQ45 during 2014-2016 respectively. The population contained in this study were 58 shares, and 33 samples were taken. The results of the analysis show that the stocks included in the optimal portfolio category are only 8 shares with the proportion of funds being WSKT 33.18%, PTPP 22.74%, AKRA 7.51%, GGRM 9.57%, TLKM 19.63%, UNVR 4, 65%, PWON 2.42%, and ADRO 0.31%. Based on the optimal stock calculation formed, the portfolio expected return is 0.0364 and portfolio risk is 0.0010.

Pembentukan Portofolio Optimal Saham-Saham Di Bursa Efek Indonesia (Bei)

2019 ◽  
Vol 14 (2) ◽  
Author(s):  
Hendrato Setiabudi Nugroho ◽  
Seto Satriyo Bayu Aji
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Research Needs ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Dynamic Movement

This research was conducted with the aim of compiling an optimum portfolio of stocks listed on the Indonesia Stock Exchange (IDX) using a single index model. The subjects of this study are stocks that consistently entered into LQ45 during the 2014-2018 period. This period was chosen because at that time the stock transactions on the Indonesia Stock Exchange was bad, as evidenced by the weak and tendency of the index (IHSG) trend. The single-index model is used because it is a simple model and is widely used in optimum portfolio formation. This model can be used to calculate expected return and portfolio risk making it possible to form an optimum portfolio. Even though similar studies have often been carried out, the very dynamic movement of stock prices on the stock exchange causes changes in the optimal portfolio each year. So that research needs to be done that continuously uses different periods of the year. The results of this study indicate that of the 24 listed issuers that were sampled, only 18 shares formed the optimal portfolio. These shares were BBCA 17.21%, PWON 16.35%, WIKA 12.95%, KLBF 7.45%, GGRM 6.51%, BBNI 5.68%, UNVR 5.35%, UNTR 4, 92%, ICBP 4.65%, ADRO 3.81%, JSMR 3.21%, ASII 3.00%, SMGR 2.78%, TLKM 2.08%, PTBA 2.07%, INDF 1.90% , BMRI 0.06%, and INTP 0.02%.

scholarly journals The Optimal Portfolio of JII Shares Listed on the Indonesian Stock Exchange: The Single Index Model Approach

2020 ◽  
Vol 5 (6) ◽  
Author(s):  
Tri Agus Setyo ◽  
Augustina Kurniasih
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Portfolio Risk ◽  
Risk And Return ◽  
Monthly Data ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Free Rate

This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, is (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E(Rp) 0.0128 is greater than the value of E(RM) 0.0003 and the value of the risk free rate is 0.0048. The value of σp 0.0438 is greater than the value of σ2M 0.0364. The portfolio performance value with the Treynor index of 0.0091 is greater when compared to the market of -0.0045.

scholarly journals PENENTUAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL MARKOWITZ PADA PERUSAHAAN INFRASTRUKTUR DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (5) ◽  
pp. 3057
Author(s):  
Ni Putu Mega Mahayani ◽  
A. A. Gede Suarjaya
Keyword(s):  
Secondary Data ◽  
Optimal Portfolio ◽  
Portfolio Risk ◽  
Expected Return ◽  
Markowitz Model ◽  
Stock Investment ◽  
Transportation Sector ◽  
Investment Growth

Investment growth continues to increase every year, no exception to the stock investment instruments. In investing, investors expect the highest return with certain risks that are willing to be borne. This study aims to find out which stocks are included in the optimal portfolio combination, along with the proportion of each fund that will signal the expected return and portfolio risk. The study was conducted on the IDX in the shares of infrastructure, utilities and transportation sector companies for the period of January-December 2017. The data used in the study were secondary data obtained from www.idx.co.id and www.finance.yahoo.com. The sample in the study was the infrastructure, utility, and transportation sector companies which provided a positive expected return during the study period. The results of the study showed that from 31 samples there were 23 stocks that were included in the determination of the optimal portfolio of the Markowitz model. Consists of shares of AKSI, BALI, BUKK, CMNP, CMPP, EXCL, IBST, KOPI, META, NELY, OASA, POWR, RAJA, RIGS, SAFE, SDMU, SHIP, SMDR, TBIG, TLKM, TOWR, TRAM, and WINS. Provide a portfolio expected return of 5.085 percent with a portfolio risk of 0.004 percent. Keywords: Stock Investment, Optimal Portfolio, Markowitz Model

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