Abstract
Investment is a process of purchasing asset with the purpose that the asset will be sold in the future at a higher price. This generates stable growth over the long term and provides pension fund. In investing activities, the risk-return trade-off needs to be concerned. To reduce risk, investment diversification can be done by splitting the investment into several companies in the form of portfolios. This research is aimed to determine the optimal portfolio through Stochastic Dominance (SD) and Multi Index Model (MIM). The data used in this research were stocks from Jakarta Islamic Index (JII) for the period of January 2012 to December 2014. The result shows that using SD and MIM, there are 15 optimal stocks and 11 optimal stocks, respectively. Furthermore, it can be stated that portfolio obtained based on MIM is considered to be the optimal portfolio with 2.25% expected returns and 3.99% risk portfolio.
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