OPTIMAL PORTOFOLIO IN BULLISH JCI WITH SINGLE INDEX MODEL

Authors

  • Eko Agustiono Bachrudin Yusuf Universitas Hasanuddin
  • Abd. Rahman Kadir Universitas Hasanuddin
  • Fauzi R. Rahim Universitas Hasanuddin

Keywords:

Optimal Portofolio, Single Index Model, Return Risk

Abstract

Abstract

The COVID-19 pandemic has an impact on the capital market, especially stocks. The purpose of this study is to analyze the optimal portfolio of 23 energy sector companies listed on the IDX during the Covid 19 pandemic with a single index model with an observation period from 2021 to 2022. The results of the analysis show that the optimal portfolio is formed from all existing samples with their respective weights, namely HITS (0,25%), RAJA (3,20%), INDY (3,48%), PTBA (3,55%), DSSA (4,28%), ENRG (5,06%), BUMI (5,10%), KKGI (5,11%), MEDC (5,61%), MBSS (5,73%), WINS (6,62%), ADRO (11,29%) ITMG (12,65%), MYOH (13,98%) dan PTRO (14,07%). The final results of this analysis show that during the recovery period of the Covid-19 Pandemic, portfolio formation in the energy sector is still profitable.

Downloads

Published

2023-06-22

Issue

Vol. 8 No. 1 (2023): MADIC

Section

Articles