Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index

This research is a quantitative descriptive study which aims to determine the optimal portfolio composition of stocks that are consistently listed on the Jakarta Islamic Index (JII) from the 2018 – November 2020 period. By using the Markowitz analysis method and the Single Index Model, and then look...

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Autores principales:	Irsyaad Rachmatullah, Jubaedah Nawir, Tri Siswantini
Formato:	article
Lenguaje:	EN ID
Publicado:	Fakultas Ekonomi dan Bisnis, UPN Veteran Jakarta 2021
Materias:	covid-19 jii markowitz optimal portfolio single index model Finance HG1-9999 Business HF5001-6182
Acceso en línea:	http://dx.doi.org/10.35590/jeb.v8i1.2682 https://doaj.org/article/82b90af56b364285a8459bff35119cb4
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spelling	oai:doaj.org-article:82b90af56b364285a8459bff35119cb42021-11-17T06:30:44ZAnalisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Indexhttp://dx.doi.org/10.35590/jeb.v8i1.26822356-02822684-7582https://doaj.org/article/82b90af56b364285a8459bff35119cb42021-07-01T00:00:00Zhttps://ejournal.upnvj.ac.id/index.php/ekobis/article/view/2682/pdfhttps://doaj.org/toc/2356-0282https://doaj.org/toc/2684-7582This research is a quantitative descriptive study which aims to determine the optimal portfolio composition of stocks that are consistently listed on the Jakarta Islamic Index (JII) from the 2018 – November 2020 period. By using the Markowitz analysis method and the Single Index Model, and then looking at the portfolio performance of both methods. The results of this study are: (1) in the Markowitz method, 2 stocks that form the optimal portfolio are obtained, namely: ANTM (51%), and BRPT (49%). With a level of expected return portfolio of 0,0083 or 0,83%, and a portfolio risk level of 0,0659 or 6,59%. (2) in the Single Index Model method, 4 stocks that form the optimal portfolio are obtained, namely: BRPT (35,75%), ANTM (35,27%), INCO (25,07%), and WIKA (3,9%). With a level of expected return portfolio of 0,0075 or 0,75%, and a portfolio risk level of 0,0110 or 1,10%. (3) performance Markowitz portfolio has a value sharpe index of 0,1116, treynor index of 0,0066, and jensen index of 0,0052. (4) the performance of Single Index Model portfolio has a value sharpe index of 0,5919, treynor index of 0,0042, and jensen index of 0,0035.Irsyaad RachmatullahJubaedah NawirTri SiswantiniFakultas Ekonomi dan Bisnis, UPN Veteran Jakartaarticlecovid-19jiimarkowitzoptimal portfoliosingle index modelFinanceHG1-9999BusinessHF5001-6182ENIDEkonomi dan Bisnis, Vol 8, Iss 1, Pp 50-69 (2021)
institution	DOAJ
collection	DOAJ
language	EN ID
topic	covid-19 jii markowitz optimal portfolio single index model Finance HG1-9999 Business HF5001-6182
spellingShingle	covid-19 jii markowitz optimal portfolio single index model Finance HG1-9999 Business HF5001-6182 Irsyaad Rachmatullah Jubaedah Nawir Tri Siswantini Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index
description	This research is a quantitative descriptive study which aims to determine the optimal portfolio composition of stocks that are consistently listed on the Jakarta Islamic Index (JII) from the 2018 – November 2020 period. By using the Markowitz analysis method and the Single Index Model, and then looking at the portfolio performance of both methods. The results of this study are: (1) in the Markowitz method, 2 stocks that form the optimal portfolio are obtained, namely: ANTM (51%), and BRPT (49%). With a level of expected return portfolio of 0,0083 or 0,83%, and a portfolio risk level of 0,0659 or 6,59%. (2) in the Single Index Model method, 4 stocks that form the optimal portfolio are obtained, namely: BRPT (35,75%), ANTM (35,27%), INCO (25,07%), and WIKA (3,9%). With a level of expected return portfolio of 0,0075 or 0,75%, and a portfolio risk level of 0,0110 or 1,10%. (3) performance Markowitz portfolio has a value sharpe index of 0,1116, treynor index of 0,0066, and jensen index of 0,0052. (4) the performance of Single Index Model portfolio has a value sharpe index of 0,5919, treynor index of 0,0042, and jensen index of 0,0035.
format	article
author	Irsyaad Rachmatullah Jubaedah Nawir Tri Siswantini
author_facet	Irsyaad Rachmatullah Jubaedah Nawir Tri Siswantini
author_sort	Irsyaad Rachmatullah
title	Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index
title_short	Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index
title_full	Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index
title_fullStr	Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index
title_full_unstemmed	Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index
title_sort	analisis portofolio optimal markowitz dan single index model pada jakarta islamic index
publisher	Fakultas Ekonomi dan Bisnis, UPN Veteran Jakarta
publishDate	2021
url	http://dx.doi.org/10.35590/jeb.v8i1.2682 https://doaj.org/article/82b90af56b364285a8459bff35119cb4
work_keys_str_mv	AT irsyaadrachmatullah analisisportofoliooptimalmarkowitzdansingleindexmodelpadajakartaislamicindex AT jubaedahnawir analisisportofoliooptimalmarkowitzdansingleindexmodelpadajakartaislamicindex AT trisiswantini analisisportofoliooptimalmarkowitzdansingleindexmodelpadajakartaislamicindex
_version_	1718425869273268224

Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index

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