Optimal Portfolio Analysis on Stocks Listed in Lq45

Abstract

The purpose of this study is to determine the optimal portfolio of stocks that are listed in the LQ-45 period (January 2023 – January 2024) and compare the return and risk in stocks that are included in the LQ-45 but not included in the optimal portfolio. The method used is the Single Index Method, which uses the ERB (Excess Return to Beta) assessment reference. The results showed that out of 45 stocks there were 10 stocks that had large ERB, which were included in the optimal portfolio were GGRM, BBTN, KLBF, EXCL, ICBP, MAPI, UNVR, CPIN, INDF, and TBIG, which provided a return of 6.61% per year and a risk of 0.08% per year. Meanwhile, the remaining thirty-five stocks were made up as well as 10 other portfolios. Each of these portfolios consists of 10 randomly selected stocks. These ten portfolios yield higher returns than optimal portfolios. However, they also have a higher risk. The results of the comparison of the coefficient of variation between the optimal portfolio and the other 10 portfolios show that the optimal portfolio is the best portfolio