Comparing Optimal Portfolios: Markowitz vs. Single Index Models for IDX High Dividend 20 Stocks (2022)
DOI:
https://doi.org/10.31315/jubir.v3i1.11226Abstract
This study aims to implement portfolio models using the Markowitz Model and Single Index Model, and to qualitatively compare the portfolios formed by these two models. A quantitative descriptive approach is employed. The study focuses on a population of 24 companies listed in the IDX High Dividend 20 stock index for the year 2022. The optimal portfolio formation through the Single Index Model results in 5 candidate companies: ADRO (36.06%), BBCA (12.87%), BBNI (22.34%), BBRI (21.86%), ITMG (6.87%) with a return of 3.44% and a portfolio risk of 0.23%. Meanwhile, the Markowitz Model results in 6 candidate companies: ADRO (18.81%), BBCA (2.21%), INDF (20.25%), ITMG (12.75%), KLBF (40.82%), UNVR (4.86%) with a return of 2.89% and a portfolio risk of 0.10%.
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