OPTIMIZATION OF PORTFOLIO PERFORMANCE ON THE JAKARTA ISLAM INDEX (JII) STOCK IN DECEMBER 2023 – MAY 204 USING THE MARKOWITZ MODEL
Abstract
This research aims to optimize the performance of a stock investment portfolio on the Jakarta Islamic Index (JII) during the period from December 2023 to May 2024, using the Markowitz model. This model minimizes portfolio risk by considering expected returns and covariance between stocks. Historical data on stock returns in the JII during the research period will be used to calculate expected returns and covariance. Furthermore, the Markowitz model will be used to determine the optimal investment proportion for each stock in the portfolio. The results of this research are expected to provide information to JII stock investors about the optimal combination of stocks to achieve maximum returns with controlled risk.
Keywords
Full Text:
PDFReferences
Elton, E. J., Gruber, M. J., & Blake, C. R. (2003). Incentive fees and mutual funds. The Journal of Finance, 58(2), 779-804.
Gitman, L. J. (2009). Introduction to managerial finance.
Hidayati, AN (2017). Investment: Analysis And Its Relevance to Islamic Economics. MALIA: Journal of Islamic Economics, 228-229.
Livingston, L. (2013). Adding Markowitz and Sharpe to portfolio investment projects. Business Education & Accreditation, 5(2), 79-91.
Riyantini, N. K. A., Saputra, M. D., & Bagiada, I. (2022). Analysis of the Effect of PER, ROA, ROE, NPM on Stock Returns on LQ45 Index Companies on the IDX in 2018-2020. Repository Politeknik Negeri Bali.
Sunder, S. (2002). Knowing what others know: Common knowledge, accounting, and capital markets. Accounting Horizons, 16(4), 305-318.
Suqaier, F. S., & Al Ziyud, H. A. (2011). The effect of diversification on achieving optimal portfolio. European Journal of Economics Finance, and Administration Sciences, 32.
DOI: https://doi.org/10.47194/ijgor.v5i3.322
Article Metrics
Abstract view : 39 timesPDF - 25 times
Refbacks
- There are currently no refbacks.
Copyright (c) 2024 International Journal of Global Operations Research
This work is licensed under a Creative Commons Attribution 4.0 International License.
Published By:Â
Iora Journal
Jl. Merkuri Timur VI No. 1, RT. 007, RW. 004, Manjahlega, Rancasari, Kota Bandung, Jawa Barat, INDONESIAÂ Phone: +62 85841953112; +62 811
IJGOR Indexed By:Â
  Â
Â
Â
This work is licensed under a Creative Commons Attribution 4.0 International License.
View My Stats