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Journal articles on the topic 'Markowitz'

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Published: 4 June 2021

Last updated: 25 April 2022

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1

Bhullar, Pritpal Singh, and Pradeep K. Gupta. "Expected and Realized Stock Returns: Evidence from India." Asian Journal of Empirical Research 6, no. 11 (February 16, 2017): 270–78. http://dx.doi.org/10.18488/journal.1007/2016.6.11/1007.11.270.278.

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Markowitz Portfolio theory is based on the expected return and risk but investors are more interested in realized return. The considerations, expected return as realized return and variance as investment risk, of Markowitz’s mean – variance model enable the researchers or scholars to further explore on the validity of Markowitz theory. The present study makes an attempt to unfold a new idea in investment scenario where Markowitz theory is empirically tested on realized return and risk as well as on realized return and expected return in the context of India. The findings show that a large variation in Expected Return is explained by the risk (Market Beta) alone and this risk and Expected return are significantly negatively related. However, the risk (Market Beta) and Realized return are insignificantly related. Further, a very low variation in the Realized (Actual) Return is explained by the Expected Return and the Expected Return and the Realised Return are insignificantly positively related. Thus, it is considered that the Markowitz model is not possible to implement in the real world even though the relationship holds good. This study acts as one of the guiding tools for investors in transforming their new age investment philosophy.

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2

Chhabra, Ashvin B. "Beyond Markowitz." Journal of Wealth Management 7, no. 4 (January 31, 2005): 8–34. http://dx.doi.org/10.3905/jwm.2005.470606.

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3

Goldberg, Lisa. "Harry Markowitz: Selected Works, edited by Harry M. Markowitz." Quantitative Finance 11, no. 10 (October 2011): 1455–56. http://dx.doi.org/10.1080/14697688.2011.616215.

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4

Iliev, Valentin. "On Markowitz Geometry." Fundamental Journal of Mathematics and Applications 1, no. 2 (December 25, 2018): 175–83. http://dx.doi.org/10.33401/fujma.453591.

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5

Baule, Rainer, Olaf Korn, and Laura-Chloé Kuntz. "Markowitz with regret." Journal of Economic Dynamics and Control 103 (June 2019): 1–24. http://dx.doi.org/10.1016/j.jedc.2018.09.012.

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6

Poma, A. "The Markowitz Wobble." International Astronomical Union Colloquium 178 (2000): 351–54. http://dx.doi.org/10.1017/s0252921100061480.

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AbstractSeveral decades ago Markowitz was the first to report the existence of fluctuations in the motion of the Earth’s axis with a period of about twenty-four years. This empirical term was often considered not real but only an artifact due to local effects. In this paper long-term variations and the relationship between the 30-yr Markowitz wobble and changes in the Earth’s rotational speed are briefly discussed.

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7

Jia-an, Yan, and Zhou Xunyu. "Markowitz strategies revised." Acta Mathematica Scientia 29, no. 4 (July 2009): 817–28. http://dx.doi.org/10.1016/s0252-9602(09)60072-2.

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8

Powers, Dennis L. "Jacob Markowitz Award." Journal of Investigative Surgery 10, no. 4 (January 1997): 247. http://dx.doi.org/10.3109/08941939709032160.

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9

Horvitz, Jeffrey E., and Jarrod W. Wilcox. "Back to Markowitz." Journal of Wealth Management 10, no. 1 (April 30, 2007): 43–53. http://dx.doi.org/10.3905/jwm.2007.684878.

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10

Maple, Terry L. "Remembering Hal Markowitz." Zoo Biology 32, no. 3 (March 7, 2013): 243–45. http://dx.doi.org/10.1002/zoo.21065.

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11

Armstrong, John. "The Markowitz Category." SIAM Journal on Financial Mathematics 9, no. 3 (January 2018): 994–1016. http://dx.doi.org/10.1137/17m1155727.

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12

Sackley, William H. "Clarifications on ‘Beyond Markowitz’." CFA Digest 37, no. 4 (November 2007): 104. http://dx.doi.org/10.2469/dig.v37.n4.4897.

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13

Preuschoff, Kerstin, Steven Quartz, and Peter Bossaerts. "Markowitz in the brain ?" Revue d'économie politique 118, no. 1 (2008): 75. http://dx.doi.org/10.3917/redp.181.0075.

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14

Pereira, Adalmiro Andrade. "O Modelo de Markowitz." Review of Business and Legal Sciences, no. 12 (July 19, 2017): 331. http://dx.doi.org/10.26537/rebules.v0i12.919.

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O modelo de Markowitz tem como principal objectivo, a criação de um Portfolio, ou de uma carteira de títulos, do qual resulte a maximização da taxa de retorno para um determinado nível de risco assumido pelo investidor. A optimização do modelo consiste na análise, no desenvolvimento e na construção de uma carteira de títulos, tendo sempre presente o conceito de eficiência.

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15

Rosner, David, and Gerald Markowitz. "Rosner and Markowitz Respond." American Journal of Public Health 103, no. 5 (May 2013): e5-e6. http://dx.doi.org/10.2105/ajph.2013.301288.

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16

Markowitz, Gerald, and David Rosner. "Markowitz and Rosner Respond." American Journal of Public Health 85, no. 10 (October 1995): 1454. http://dx.doi.org/10.2105/ajph.85.10.1454.

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17

Dick, Steven J., and Dennis McCarthy. "William Markowitz (1907–1998)." International Astronomical Union Colloquium 178 (2000): 333–35. http://dx.doi.org/10.1017/s0252921100061455.

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18

Gutman, Herbert. "Victor Markowitz: In memoriam." Labor History 29, no. 3 (June 1988): 391–98. http://dx.doi.org/10.1080/00236568800890271.

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19

Stoica, George. "General Markowitz Optimization Problems." Applied Mathematics 03, no. 12 (2012): 2038–40. http://dx.doi.org/10.4236/am.2012.312a281.

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20

Chhabra, Ashvin B. "Clarifications on “Beyond Markowitz”." Journal of Wealth Management 10, no. 1 (April 30, 2007): 54–59. http://dx.doi.org/10.3905/jwm.2007.684879.

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21

Naqvi, Hassan. "On the validity of the Capital Asset Pricing Model." LAHORE JOURNAL OF ECONOMICS 5, no. 1 (January 1, 2000): 73–92. http://dx.doi.org/10.35536/lje.2000.v5.i1.a4.

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One of the most important developments of modern finance is the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner and Mossin. Although the model has been the subject of several academic papers, it is still exposed to theoretical and empirical criticisms. The CAPM is based on Markowitz’s (1959) mean variance analysis. Markowitz demonstrated that rational investors would hold assets, which offer the highest possible return for a given level of risk, or conversely assets with the minimum level of risk for a specific level of return.

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22

Solanki, Dr Ashvinkumar H. "Portfolio Selection Process through Markowitz Model." Indian Journal of Applied Research 4, no. 8 (October 1, 2011): 356–58. http://dx.doi.org/10.15373/2249555x/august2014/90.

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23

PUTRI, PUTRI, DODI DEVIANTO, and YUDIANTRI ASDI. "MODEL PORTOFOLIO OPTIMAL MARKOWITZ PADA SAHAM INDEKS LQ45 PERIODE JANUARI 2015 – JANUARI 2019." Jurnal Matematika UNAND 9, no. 2 (June 29, 2020): 93. http://dx.doi.org/10.25077/jmu.9.2.93-98.2020.

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Investasi saham merupakan trend yang sedang berkembang pesat di dunia perekonomian Indonesia. Dalam melakukan investasi, investor akan membentuk sebuah portofolio untuk memperoleh keuntungan yang maksimal. Portofolio optimal dapat dibentuk menggunakan model Markowitz. Model Markowitz berfokus untuk meminimalkan risiko tanpa mengubah nilai return yang akan diperoleh. Pada studi kasus data perusahaan yang terdaftar konsisten dalam Indeks LQ45 periode Januari 2015-Januari 2019, diperoleh portofolio optimal dengan nilai return ekspektasi sebesar 0.010984851 dan perolehan nilai risiko sebesar 0.030635422 Kata Kunci: Portofolio Optimal, Portofolio Markowitz

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24

Ghosh, Satadal, and Sujit Kumar Majumdar. "Portfolio Selection Models and Their Discrimination." International Journal of Operations Research and Information Systems 2, no. 2 (April 2011): 65–91. http://dx.doi.org/10.4018/joris.2011040104.

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The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of the return of each stock with the market return, the unsystematic part of the uncertainty was used to find the optimum portfolio and efficient risk–return frontier within each portfolio selection model. The average stock return as estimated from its historical data and the forecasted stock return were used for maximizing return with quadratic programming formulation in Markowitz model. In the models involving Fuzzy probability and possibility distributions, the future return was estimated using the similarity grade of past returns. In the interval coefficient models, future return was estimated as interval variable. The optimum portfolios of different models were widely divergent and DEA was used to identify the model giving the best portfolio with higher appraisal, both overall and by peers, and least Maverick behavior. Use of Signal to Noise ratio proved equally efficient for model discrimination and yielded identical results.

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25

Siegel, Laurence B. "Read Your Sharpe and Markowitz!" CFA Institute Magazine 25, no. 5 (September 2014): 17–19. http://dx.doi.org/10.2469/cfm.v25.n5.5.

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26

Pittman, Von. "Speaking Personally—With Hal Markowitz." American Journal of Distance Education 26, no. 1 (January 2012): 66–72. http://dx.doi.org/10.1080/08923647.2011.618304.

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27

Barnes, Tom. "MARKOWITZ ALLOCATION-FIXED INCOME SECURITIES." Journal of Financial Research 8, no. 3 (September 1985): 181–91. http://dx.doi.org/10.1111/j.1475-6803.1985.tb00401.x.

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28

Rosner, David, and Gerald Markowitz. "Response from Rosner and Markowitz." American Journal of Public Health 75, no. 12 (December 1985): 1452–53. http://dx.doi.org/10.2105/ajph.75.12.1452-b.

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29

Brodie, J., I. Daubechies, C. De Mol, D. Giannone, and I. Loris. "Sparse and stable Markowitz portfolios." Proceedings of the National Academy of Sciences 106, no. 30 (July 15, 2009): 12267–72. http://dx.doi.org/10.1073/pnas.0904287106.

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30

Gasser, Stephan M., Margarethe Rammerstorfer, and Karl Weinmayer. "Markowitz revisited: Social portfolio engineering." European Journal of Operational Research 258, no. 3 (May 2017): 1181–90. http://dx.doi.org/10.1016/j.ejor.2016.10.043.

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31

Wong, W. K., and R. H. Chan. "Prospect and Markowitz stochastic dominance." Annals of Finance 4, no. 1 (March 22, 2007): 105–29. http://dx.doi.org/10.1007/s10436-007-0072-4.

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32

Grujić, Miloš. "APPLICATION OF THE MODERN PORTFOLIO THEORY IN DIVERSIFICATION OF THE DEBT SECURITIES PORTFOLIO IN EMERGING MARKETS." ЗБОРНИК РАДОВА ЕКОНОМСКОГ ФАКУЛТЕТА У ИСТОЧНОМ САРАЈЕВУ 1, no. 13 (May 3, 2017): 67. http://dx.doi.org/10.7251/zrefis1613067g.

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The term "portfolio analysis", introduced in the economic theory by Harry Markowitz, is not a new term in scientific literature. However, analysis and criticism in the papers of local and foreign authors are mainly based on the examples of developed capital markets. There are very few cases of application of the portfolio analysis in the domestic capital market. The focus of this paper is on implementation of diversification of the bonds on the Banja Luka Stock Exchange. Using Markowitz's portfolio selection, we will prove that diversification, including all limitations, is possible and applicable onto the domestic bonds in the capital market.

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33

Kaplan, Paul D. "From Markowitz 1.0 to Markowitz 2.0 with a Detour to Postmodern Portfolio Theory and Back." Journal of Investing 26, no. 1 (February 28, 2017): 122–30. http://dx.doi.org/10.3905/joi.2017.26.1.122.

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34

LI, ZHONG-FEI, KAI W. NG, KEN SENG TAN, and HAILIANG YANG. "OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION." International Journal of Theoretical and Applied Finance 09, no. 06 (September 2006): 951–66. http://dx.doi.org/10.1142/s0219024906003883.

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In this paper we propose a variant of the continuous-time Markowitz mean-variance model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the Markowitz mean-variance efficient frontier.

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35

Muslim, Abdul. "Return and Risk Comparative Analysis in the Formation of Optimal Share Portfolio with Random Model, Markowitz Model, and Single Index Model." Majalah Ilmiah Bijak 17, no. 2 (September 30, 2020): 184–203. http://dx.doi.org/10.31334/bijak.v17i2.896.

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This research was conducted to determine the composition of the stock portfolio formed by the Random model, the Markowitz model, and the Single Index model and which portfolio composition was optimal from the results of calculations using the Random model, the Markowitz model, and the Single Index model. The method used is a quantitative analysis using stock price data in the LQ45 Index group listed on the Indonesia Stock Exchange (IDX). In the first random process the results of calculating the expected return value for each share and obtained portfolio candidates can produce a total expected return of 0.2726 or 27.26%. The Markowitz method produces 14 shares that have a positive value, which means it enters into portfolio-forming shares, while the Single Index Model obtains diversified investments in the form of a portfolio of 6 shares

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36

Nur Safitri, Indah Nur, Sudradjat Sudradjat, and Eman Lesmana. "STOCK PORTFOLIO ANALYSIS USING MARKOWITZ MODEL." International Journal of Quantitative Research and Modeling 1, no. 1 (February 2, 2020): 47–58. http://dx.doi.org/10.46336/ijqrm.v1i1.6.

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A common problem that often occurs in investment is the selection of the optimal portfolio according to the wishes of investors. This thesis ueds the Markowitz Model as a basis to formed a model to choose the optimal portfolio that provided the lowest risk. Efforts to minimize risk were carried out by conducting a diversification strategy. After the selection of several companies with the criteria of capitalization value and DER (Debt Equity Ratio), a combination of stocks is formed to form a portfolio. The formed portfolio was then analyzed to determine the optimal proportion of each stock. Using the Markowitz model, which is then solved by Non Linear Programming, an optimal portfolio is obtained with the proportion of each stock minimizing risk. In general, the results of this analysis indicate that portfolios with more stocks will produce lower risks compared to portfolios with fewer stocks, thus providing optimal diversification solutions, namely portfolios with members of five stocks with optimal risk of 0.886%.

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37

Setyawati, Ni Putu Eka Cahya, and Gede Merta Sudiartha. "PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL MARKOWITZ." E-Jurnal Manajemen Universitas Udayana 8, no. 7 (March 10, 2019): 4213. http://dx.doi.org/10.24843/ejmunud.2019.v08.i07.p08.

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Investment can be related to investing some funds in financial assets or real assets such as land, gold, shares, deposits, bonds and other forms. As a party who is make an investment, investors will be faced with a variety of options in investing that has a rate of return and risk-appropriate expectations. The ways that usually used by investors is to diversify through the creation of a portfolio. The aim of this research is to know the stocks that can be inserted into the optimal portofolio as well as the proportions of each of the stocks, that the model established by Markowitz. This research was conducted on the IDX30 index from January 2017 to January 2018, especially in the mining sector and consumer goods. The results showed, from 14 stock, 7 stock was selected as candidate of portfolio optimal Markowitz models. Stocks that are worth being a member of the optimal portfolio by a proportion of the allocation of each fund i.e. stocks ADRO (0.55%), ASII (0.15%), GGRM (17.61%), ICBP (9.46%), MEDC (5.275), UNVR (41.11%), and UNTR (25.86%), it gives the expected portfolio return of 3.2% and with the level of risk of 3.3%. Keywords: optimal portfolio, Markowitz model, mining sector and consumer goods

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38

Alexander, Gordon J. "From Markowitz to modern risk management." European Journal of Finance 15, no. 5-6 (September 2009): 451–61. http://dx.doi.org/10.1080/13518470902853566.

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39

Kamil, Anton Abdulbasah, Chin Yew Fei, and Lee Kin Kok. "Portfolio analysis based on Markowitz model." Journal of Statistics and Management Systems 9, no. 3 (November 2006): 519–36. http://dx.doi.org/10.1080/09720510.2006.10701221.

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40

Amestoy, Patrick R., Xiaoye S. Li, and Esmond G. Ng. "Diagonal Markowitz Scheme with Local Symmetrization." SIAM Journal on Matrix Analysis and Applications 29, no. 1 (January 2007): 228–44. http://dx.doi.org/10.1137/050637315.

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41

Czichowsky, Christoph, and Martin Schweizer. "Cone-constrained continuous-time Markowitz problems." Annals of Applied Probability 23, no. 2 (April 2013): 764–810. http://dx.doi.org/10.1214/12-aap855.

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42

Pysarenko, Sergiy, Vitali Alexeev, and Francis Tapon. "Predictive blends: Fundamental Indexing meets Markowitz." Journal of Banking & Finance 100 (March 2019): 28–42. http://dx.doi.org/10.1016/j.jbankfin.2018.12.016.

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43

Arvanitis, Stelios, Olivier Scaillet, and Nikolas Topaloglou. "Spanning tests for Markowitz stochastic dominance." Journal of Econometrics 217, no. 2 (August 2020): 291–311. http://dx.doi.org/10.1016/j.jeconom.2019.12.005.

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44

Bissantz, Nicolai, Verena Steinorth, and Daniel Ziggel. "Stabilität von Diversifikationseffekten im Markowitz-Modell." AStA Wirtschafts- und Sozialstatistisches Archiv 5, no. 2 (June 29, 2011): 145–57. http://dx.doi.org/10.1007/s11943-011-0101-7.

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45

Bobrova, Elena Alexandrovna, Lidia Viktorovna Mazur, and Victoria Vladimirovna Malaschenko. "Markowitz portfolio theory under modern conditions." Economic Environment, no. 2 (2021): 78–83. http://dx.doi.org/10.36683/2306-1758/2021-2-36/78-83.

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46

Hartono, Nuralfira Putri, Onoy Rohaeni, and Eti Kurniati. "Menentukan Portofolio Optimal Menggunakan Model Markowitz." Jurnal Riset Matematika 1, no. 1 (October 26, 2021): 57–64. http://dx.doi.org/10.29313/jrm.v1i1.162.

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The provider company on the covid-19 pandemic became an interest in investors to invest. Investing certainly has a risk then investors must have an analysis to know what to bear during investing is like making a portfolio. In determining the optimal portfolio there are several models that one of them can use is the Markowitz model. Specifies an optimal portfolio with Markowitz models only reserved for investors who want the smallest risk outcome with a particular profit. The results earned for the investor's optimal portfolio could instill its funds on each provider's shares, on W shares with a fund proportion of 0.48%, on X shares with a fund proportion of 50%, on Y shares with a fund proportion of 49.5% and on Z shares with a fund proportion of 0.11%. The optimal portfolio formed gives a portfolio return expectation of 7.53% with a portfolio risk or risk that investors will bear is as much as 9.95%. Perusahaan provider pada pandemi covid-19 menjadi ketertarikan para investor untuk berinvestasi. Berinvestasi tentunya memiliki risiko maka investor harus memiliki analisis untuk mengetahui apa yang akan ditanggung selama berinvestasi seperti membuat suatu portfolio. Dalam menentukan portfolio optimal ada beberapa model yang dapat digunakan salah satunya adalah model Markowitz. Menentukan portfolio optimal dengan model Markowitz hanya diperuntukan untuk investor yang menginginkan hasil risiko terkecil dengan keuntungan tertentu. Hasil yang diperoleh untuk portfolio optimal investor dapat menanamkan dananya pada masing-masing saham provider, pada saham W dengan proporsi dana sebesar 0,48%, pada saham X dengan proporsi dana sebesar 50%, pada saham Y dengan proporsi dana sebesar 49,5% dan pada saham Z dengan proporsi dana sebesar 0,11%. Portofolio optimal yang terbentuk memberikan return ekspektasi portfolio sebesar 7,53% dengan risiko portfolio atau risiko yang akan ditanggung oleh investor adalah sebesar 9,95%.

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47

Muthohiroh, Umiyatun, Rita Rahmawati, and Dwi Ispriyanti. "PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB." Jurnal Gaussian 10, no. 4 (December 31, 2021): 508–17. http://dx.doi.org/10.14710/j.gauss.v10i4.33098.

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A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).

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48

Muthohiroh, Umiyatun, Rita Rahmawati, and Dwi Ispriyanti. "PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB." Jurnal Gaussian 10, no. 3 (December 30, 2021): 445–54. http://dx.doi.org/10.14710/j.gauss.v10i3.32805.

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A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).

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49

Putri, Dwiana Sanjaya, and Nusa Muktiadji. "Analisis Portfolio Optimal Pada Beberapa Perusahaan LQ-45 Komparasi Pendekatan Markowits Dan Model Indeks Tunggal." Jurnal Ilmiah Manajemen Kesatuan 5, no. 1 (July 16, 2018): 33–43. http://dx.doi.org/10.37641/jimkes.v5i1.24.

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In order to minimize the risk, every investor will diverse their investments in a portfolio. This research will form two portfolios, containing three stocks with the highest return and the lowest risks, and with the dividend for the last five years. The two methods used are Single Index Model and Markowitz. Single Index Model involving market in its process while Markowitz only considering the correlation between each stocks. Later will be shown, that both methods’ results are the same for both returns (Individual stocks and portofolio), and a slightly different result with the portofolio’s risks. This proves that the correlation between stocks are also involving in the market. Alam Sutera Realty (ASRI), AKR Corporindo (AKRA), and Global Mediacom (BMTR) are chosen as they have the highest return since 2010, while Astra Agro Lestari (AALI), Adhi Wijaya (ADHI), and Bank Negara Indonesia (BBNI), are chosen for its lowest risk for the last five years. The portfolio A’s returns, calculated with Markowitz method is 45.7% and the risk is 33.78%, and the single index model results for return is exactly the same, 45.7% while the risk is slightly different, 35.8%. The portfolio B’s return, calculated with Markowitz method is 20.7% and the risk is 27.67%, and the single index model’s result for return is exactly the same, 20.7% while the risk is slightly different, 28.24%.

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Dewi, Ni Kadek Arista, and Made Reina Candradewi. "PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM INDEKS IDX80 DENGAN MENGGUNAKAN MODEL MARKOWITZ." E-Jurnal Manajemen Universitas Udayana 9, no. 4 (April 3, 2020): 1614. http://dx.doi.org/10.24843/ejmunud.2020.v09.i04.p19.

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Abstract:

The purpose of this study is to determine the company's shares that are included in the optimal portfolio along with the magnitude of the final fund proportion of each company's shares. This research was conducted at the Indonesia Stock Exchange on company shares that included the IDX80 index from February to September 2019. This study used secondary data with nonparticipant observation data collection methods. The research sample of 74 shares obtained through purposive sampling method with data analysis techniques using the Markowitz model. The results showed that there were 7 shares worthy of being members of the optimal portfolio of Markowitz models on IDX80 index shares. The seven shares included ACES 11.458 percent, HOKI 2.539 percent, ICBP 26.947 percent, PWON 33.071 percent, TBIG 9.541 percent, WIKA 2.760 percent, and WOOD 13.684 percent which gave an expected portfolio return of 1.806 percent with a portfolio risk of 0.705 percent. Keywords: investment, optimal portfolio, IDX80 index, Markowitz model

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