Optimization of the Mean-Variance Model Investment Portfolio in Five Mining Stocks Traded on the IDX

Guskenoly fauziah

doi:10.47194/ijgor.v2i2.80

Authors

Guskenoly fauziah
sukono@unpad.ac.id

Keywords:

mining and energy stocks, Markowitz model, optimum portfolio

Abstract

The Mining and Energy sector is a major foreign exchange earner, provides the largest energy resource, and as an absorber of labor. In addition, most of the energy resources used in the Indonesian economy come from mining. namely oil and coal. Investment for mining and energy exploration in Indonesia needs to be a priority and continue to be encouraged to maintain the level of reserves as raw materials for future industrial development, including downstream. This study aims to measure the performance of investment portfolios in several stocks in the Mining and Energy sectors. The portfolio optimization method is carried out using the Mean-Variance model (Markowitz model). Based on the results of the analysis, it is obtained that the combination and proportion of capital allocation on several stocks in the formation of an investment portfolio that has better performance, where the optimum portfolio composition obtained a portfolio return of 0.000866205 with a portfolio variance of 0.000261104. In addition, the results of the analysis can be concluded that the return ratio can affect the model.

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