Article Per Year (5 Year)
p-Index From 2019 - 2024
0.23
P-Index
This Author published in this journals
All Journal International Humanities and Applied Science Journal
Salsa Aldila
Universitas Mercu Buana
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Library & Information Science Social Sciences

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
ANALYSIS OF OPTIMAL PORTFOLIO PERFORMANCE USING MARKOWITZ MODEL AND SINGLE INDEX MODEL (CASE STUDY ON LQ45 INDICES) Salsa Aldila; Noor Prio Sasongko
International Humanities and Applied Science Journal Volume 5, Issue 1, 2022
Publisher : Universitas Mercu Buana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22441/ihasj.2022.v5i1.03

Abstract

This study aims to analyze performance of Markowitz Model and Single Index Model to construct optimal portfolio. Descriptive analysis method with quantitative approach is used in this study. Construction of optimal portfolio using historical daily data from the first semester of the study and evaluation of optimal portfolio performance using historical daily data form the second semester of the study. This study assumed that investment applied as the optimal portfolio constructed by both models. Therefore, performance evaluation both portfolios conducted on second semester of the study using Sharpe ratio, Treynor ratio, and Jensen’s Alpha. This study shows that there are no significance differences of optimal portfolio performance using Markowitz Model and Single Index Model.
Co-Authors Noor Prio Sasongko