Analysis Optimal Portfolio Formation using the Markowitz Model on Jakarta Islamic Index Stocks for the 2019-2024 Period
DOI:
https://doi.org/10.22437/jaku.v10i02.47284Keywords:
Optimal Portofolio, Markowitz Model, Capital MarketAbstract
This study aims to determine the optimal portfolio formation using the Markowitz model on Jakarta Islamic Index (JII) stocks for the2019-2024 period. The population in this study is all 30 Jakarta Islamic Index stocks for the 2019- 2024 period, while the sample is 12 stocks. Data analysis was conducted using the Markowitz model which begins by collecting monthly closing stock prices, calculating realized returns, expected returns, risks, covariances, and correlations until an optimal portfolio is obtained. This testresulted in four stocks that became the optimal portfolio with maximum profits, namely ICBP, ADRO, ANTM, and EXCL with anexpected return of 1.08% and a risk of 6.26%. On the other hand, the minimum risk consists of ICBP, INDF, INCO, EXCL, UNTR, and ADRO with an expected return of 0.44% and a risk of 4.37%. These results confirm that the application of the Markowitz model can help investors in determining the optimal stock combination according to risk preferences.
Downloads
References
Alim, K., Rahmawati, A. R., & Matsaany, B. (2023). Formation of optimal portfolio on JII stock using Sharpe, Treynor, and Jensen indices during the period of 2018–2023. Jurnal Matematika, Statistika dan Komputasi, 19(3), 593–601. https://doi.org/10.20956/j.v19i3.26354
Anam, S. K., Aprianingrum, A., & Moorcy, N. H. (2021). Determination of the Optimal Portfolio with the Markowitz Model on the Jakarta Islamic Index (JII). Journal of GeoEkonomi, 12(2), 205–220. DOI: 10.36277/geoekonomi.v12i2.166
Bawazier, S., & Sitanggang, J. (1994). Selecting Stocks for an Optimal Portfolio. Jurnal Pengusahawan. Vol. XI No. 1, 34-40.
Fahmi, Irham. (2018). Introduction to Portfolio Theory and Investment Analysis. Bandung: Alfabeta.
Fanani, M.R. et al. (2024). Single Index Model Analysis Using LQ-45 Stocks in Optimal Portfolio Formation. Journal of the 2024 National Data Science Seminar (SENADA 2024).
Hartono, Jogiyanto. (2019). Portfolio Theory and Investment Analysis. Yogyakarta: BPFE.
Hartono, Jogiyanto. (2023). Portfolio Theory and Practice with Excel. Jakarta: Salemba.
IDX. (2024). Sharia Stock Index. Accessed May 2, 2025.
IDX. (2024). How to Avoid Illegal Investments.
Retrieved May 11, 2025.
IDX. (2025). Encouraging Academic Improvement Related to Sharia Capital Markets, SRO Inaugurates Center of Research for Islamic Capital Market FPEB UPI. Accessed May 11, 2025.
OJK. (2023). Press Release: Indonesian Capital Market Grows Amidst Global Dynamics, Closing of Trading on the Indonesia Stock Exchange in 2023. Accessed May 2, 2025.
Prihatiningsih, P. (2025). Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index. Ekonomi Dan Bisnis, 8(1), 50–69. DOI: 10.35590/jeb.v8i1.2682
Rachmatullah, I., Nawir, J., & Siswantini, T. (2021). Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index. Ekonomi dan Bisnis, 8(1), 50–69. DOI: 10.35590/jeb.v8i1.2682
Ramli, A., Anwar, I. L., & Anwar, I. L. (2020). Markowitz Model in The Analysis of Optimal Portfolio Establishment on Jakarta Islamic Index (JII) in Indonesian Stock Exchange (periode Des 2013–Mei 2019). Archives of Business Research, 8(2), 190–201. DOI: 10.14738/abr.82.7854
Rizqullah, T.Z. et al. (2024). Analysis of Optimal Portfolio Formation on the Indonesia Stock Exchange Using the Markowitz Model (IDX30 Index 2019- 2023 Period). Jurnal Master Manajemen, Vol.2 No.3.
Tandelilin, Eduardus. (2017). Capital Markets: Portfolio Management and Investment. Yogyakarta: PT Kanisius.
Yunita, I. (2018). Markowitz model dalam pembentukan portofolio optimal (studi kasus pada Jakarta Islamic Index). Jurnal Riset Akuntansi dan Keuangan, 9(1). https://doi.org/10.17509/jrak.v9i1.27586
Yuwono, T., & Ramdhani, D. (2017). Comparison analysis of portfolio using Markowitz model and single index model: Case in Jakarta Islamic Index. Jurnal Manajemen dan Akuntansi, 4(2).
Zubir, Z. (2012). Portfolio Management: Its Application in Stock Investment. Jakarta: Salemba Empat.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Dewi Silviani, Endah Yuni Puspitasari, Irawan
This work is licensed under a Creative Commons Attribution 4.0 International License.
