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Optimal Stock Portfolio: Markowitz Model Case Study on Companies Listed in IDX BUMN20 for The Year 2022-2024 = Optimal Stock Portfolio: Markowitz Model Case Study on Companies Listed in IDX BUMN20 for The Year 2022-2024
Sherlyta Ayuning Tyas,”Optimal Stock Portfolio: Markowitz Model Case Study on Companies Listed in IDX BUMN20 for The Year 2022-2024”, Thesis of Bachelor of Applied Science in Financial Analyst Study Program, Accounting Department, Semarang State Polytechnic, under the guidance of Dina Yeni Martia, S.S.T., M.Sc. and Muhammad Rois, S.E., M.Sc., January 2025, 87 pages.
The aim of this study is to obtain the results of the formation of an optimal portfolio of shares in the IDX BUMN20 index company listed on the Indonesia Stock Exchange for the period 2022 - 2024. The data used in this study are secondary data derived from daily time series data from stock prices that are the research sample taken from daily stock closing prices and IDX BUMN20 data during the period 2022-2024. The processes followed in order to create the optimal portfolio using the Markowitz model. The results of the formation of the optimal portfolio of stocks in the IDX BUMN20 index for the 2022-2024 period with the Markowitz model resulted in 10 (ten) portfolio-forming stocks, namely BMRI 0.40 or 40%, ELSA 0.24 or 24%, BRIS 0.17 or 17%, JSMR 0.10 or 10%, PGAS 0.05 or 5%, BBRI 0.04 or 4%, BBNI, JKON, PTBA, and TINS each provided a proportion of shares of 0.0 or 0%. The proportion is generated based on the lowest level of risk or MVP (Minimum Variance Portfolio) of 0.0090 or 0.90% and a rate of return portfolio expectations of 0,00112 or 0,11%. Recommendations for investors are to invest in 6 stocks including BMRI, ELSA, BRIS, JSMR, PGAS, and BBRI.
Keywords: Return, Risk, Optimal Portfolio, IDX BUMN20, Markowitz Model
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