ARRUS Journal of Mathematics and Applied Science
Vol. 3 No. 1 (2023)

Analysis of Stock Portfolio Optimization in the Telecommunications Sector Using the Single Index Model

Irwan Irwan (Department of Mathematics, Universitas Negeri Makassar, Makassar, 90223, Indonesia)
Muhammad Abdy (Department of Mathematics, Universitas Negeri Makassar, Makassar, 90223, Indonesia)
Nurul Khofifah Salsabila (Department of Mathematics, Universitas Negeri Makassar, Makassar, 90223, Indonesia)
Ansari Saleh Ahmar (Department of Statistics, Universitas Negeri Makassar, Makassar, 90223, Indonesia)

Article Info

Publish Date
26 May 2023

Abstract

The purpose of this study was to determine the optimal portfolio in the telecommunications sector listed on the Indonesia Stock Exchange based on the Jakarta Composite Index for the period January 2018–December 2020 using the Single Index Model. This type of research is an applied research. This type of research is applied research with secondary data obtained from the Indonesia Stock Exchange, Yahoo Finance, and Bank Indonesia. The number of samples taken is 5 stocks, namely TLKM, ISAT, EXCL, BTEL, and FREN. Based on the results of the analysis of the 5 stocks that are members of the JCI, the combination of 2 stocks that make up the optimal portfolio, namely ISAT and FREN, produces an expected return of 5.08% with a risk of 8.02%.

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Journal Info
ARRUS Journal of Mathematics and Applied Science
Website

Abbrev

mathscience

Publisher

Yayasan Ahmar Cendekia Indonesia

Subject

Biochemistry, Genetics & Molecular Biology Chemistry Decision Sciences, Operations Research & Management Mathematics Physics

Description

Aim: To drive forward the fields related to Applied Sciences, Mathematics, and Its Education by providing a high-quality evidence base for academicians, researchers, scholars, scientists, managers, policymakers, and students. Scope: The focus is to publish papers that are authentic, original, and ...