Optimal Portfolio Formation Using the Single Index Model on the LQ45 Index on the Indonesia Stock Exchange

Melinia, Elita and SUBAGYO, SUBAGYO and WIDODO, MOCH WAHYU (2023) Optimal Portfolio Formation Using the Single Index Model on the LQ45 Index on the Indonesia Stock Exchange. International Journal of Research and Review, 10 (7). pp. 428-439. ISSN 2349-9788

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Abstract

The purpose of this research is to identify stocks that can form an optimal portfolio on the LQ45 Index on the IDX for the period August 2022 – January 2023 and find out the proportion of funds from each stock that makes up the optimal portfolio, as well as find out the level of expected return and risk of the optimal portfolio that is formed. This study uses a quantitative approach and descriptive research type. The population in this study totaled 45 LQ45 Index stocks for the period August 2022 – January 2023 with a sample of 44 stocks selected using purposive sampling. The data collection technique in this study is the documentation technique obtained from the websites www.idx.co.id, www.finance.yahoo.com, and www.bi.go.id. The data analysis technique used in this study is the Single Index Model. The results of this study indicate that the optimal portfolio is formed from 3 (three) stocks, namely UNVR, BBRI, and ICBP with the proportion of funds per share respectively 63.51%, 28.16%, and 8.33%, and the amount expected return of the optimal portfolio is 0.84% and the risk level is 0.14%.

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