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All Journal International Journal of Quantitative Research and Modeling
Indah Nur Nur Safitri
Unknown Affiliation
Computer Science & IT Decision Sciences, Operations Research & Management Engineering Environmental Science Physics

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STOCK PORTFOLIO ANALYSIS USING MARKOWITZ MODEL Indah Nur Nur Safitri; Sudradjat Sudradjat; Eman Lesmana
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (355.191 KB) | DOI: 10.46336/ijqrm.v1i1.6

Abstract

A common problem that often occurs in investment is the selection of the optimal portfolio according to the wishes of investors. This thesis ueds the Markowitz Model as a basis to formed a model to choose the optimal portfolio that provided the lowest risk. Efforts to minimize risk were carried out by conducting a diversification strategy. After the selection of several companies with the criteria of capitalization value and DER (Debt Equity Ratio), a combination of stocks is formed to form a portfolio. The formed portfolio was then analyzed to determine the optimal proportion of each stock. Using the Markowitz model, which is then solved by Non Linear Programming, an optimal portfolio is obtained with the proportion of each stock minimizing risk. In general, the results of this analysis indicate that portfolios with more stocks will produce lower risks compared to portfolios with fewer stocks, thus providing optimal diversification solutions, namely portfolios with members of five stocks with optimal risk of 0.886%.
Co-Authors Eman Lesmana Sudradjat Sudradjat