Constructing an Optimal Portfolio with a Single Index Model on the Shares of Bumn Companies Listed in the IDXBUMN20 Index on the Indonesia Stock Exchange

Authors

  • Bagus Wicaksono Kurniawan UPN Veteran Yogyakarta
  • C. Ambar Pujiharjanto UPN Veteran Yogyakarta
  • Nilmawati Nilmawati UPN Veteran Yogyakarta

DOI:

https://doi.org/10.58812/wsbm.v1i05.499

Keywords:

Optimal portfolio , Single Index Model , IDXBUMN20 , Treynor

Abstract

This study aims to determine the optimal portfolio using a single index model on the shares of state-owned companies listed in the IDXBUMN20 index on the Indonesia Stock Exchange. The population was 20 issuers and using purposive sampling, 13 issuers were obtained as samples. By using a single index model, the results show that 7 stocks make up the optimal portfolio with the proportion of funds as follows ANTM (27.52%), BBNI (24.02%), PTBA (17.86%), BMRI (15.08%), TINS (7.51%), BBRI (7.45%) and PGAS (0.56%). Measurement of portfolio performance using the Treynor method of 0.17233 is higher than market performance which has a value of 0.01441.

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Published

2023-12-24

How to Cite

Kurniawan, B. W., Pujiharjanto, C. A., & Nilmawati , N. (2023). Constructing an Optimal Portfolio with a Single Index Model on the Shares of Bumn Companies Listed in the IDXBUMN20 Index on the Indonesia Stock Exchange. West Science Business and Management, 1(05), 386–395. https://doi.org/10.58812/wsbm.v1i05.499

Issue

Vol. 1 No. 05 (2023): West Science Business and Management

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Articles

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