Critical Examination of Optimal Portfolios on Basic Materias Sector Stocks on the IDX Through the Markowitz Approach

Syarif Hidayatullah(1*), Arsil Ainun Rahman(2), Dina Mudrikah Munatzir(3), Anwar Anwar(4),

(1) University state of Makassar
(2) University State of Makassar
(3) University State of Makassar
(4) University State of Makassar
(*) Corresponding Author



Abstract


This study aims as a critical review of optimal portfolio formation using the Markowitz model on basic materials sector stocks on the Indonesia Stock Exchange. The population in this study are all basic materials sector stocks based on the IDX IC division on the Indonesia Stock Exchange for the period October 2021 - March 2022, namely 93 stocks, while the sample is 71 stocks. Data analysis is carried out with the Markowitz model stages starting with collecting stock price data per day during the study period, calculating realized return, expected return, variance, standard deviation, covariance, to get the optimal portfolio with risk and expected return. The results showed that, the formation of an optimal portfolio with the Markowitz model in basic materials sector companies for the period October 2021-March 2022, there were 30 stocks included in the optimal portfolio with an expected return of 0.022% and a risk of 0.342%.

This study aims as a critical study of the optimal portfolio formation by using the Markowitz model on basic materials sector stocks on the Indonesia Stock Exchange. The population in this study is all shares of the basic materials sector based on the distribution of IDX IC on the Indonesia Stock Exchange for the period October 2021 - March 2022, which is 93 shares, while the sample is 71 shares. Data analysis was carried out with the stages of the Markowitz model, starting with collecting stock price data per day during the study period, calculating the realized return, expected return, variance, standard deviation, covariance, and to get the optimal portfolio with risk and expected return. The results showed that in the formation of an optimal portfolio using the Markowitz model in basic materials sector companies for the period October 2021-March 2022, it was found that there were 30 stocks included in the optimal portfolio with an expected return of 0.022% and a risk of 0.342%.

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