Portfolio Optimization Analysis Using Markowitz Model on Idx30 Stock Index in 2022 and 2023

Edwin Setiawan Nugraha, Carlina Juliany Lantang, Mokhammad Ridwan Yudhanegara

Abstract


Economic growth today has an impact on the lives of residents of a country. Investing in the stock market involves a relatively high degree of risk, as stock prices can fluctuate very quickly. However, a proper analysis in forming a portfolio is very important before making any investment decision to get maximal return. This research will use Markowitz Model to get optimal. This model explains the importance of diversification and how it can reduce overall risk while increasing returns. Data to be use are from IDX30 Index Companies in 2022 and 2023 because this index includes stocks from various industrial sectors that reflects significant developments in the Indonesian stock market. Data processing in this research will use Python. This model will determine best combination to become optimal portfolio from list companies in IDX30 Index. The result from this research shows that there 7 stocks become the combination for the optimal portfolio with the expected returns rate of is 65.776% and the portfolio risk is 20.0008%. The weights for each stock in optimal portfolio obtained using PyPortfolioOpt package in Python, are BBNI.JK = 12.024%, BMRI.JK = 16.142%, INCO.JK= 5.033%, INDF.JK = 12.36%, ITMG.JK = 38.606%, KLBF.JK = 11.148%, UNVR.JK.=4.688%. Markowitz model can investor investor an consideration to select the stocks recommendation with the optimal weight for their portfolio to get maximum return with low risk.

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References


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DOI: http://dx.doi.org/10.33021/firm.v9i1.4990

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