Abstract
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%.
Highlights
Over the past years, investing interest increases with the advancement of information and communication technology
The model for portfolio analysis that considers the relationship of return and risk is the Markowitz model
The design of the stock portfolio using the Markowitz model was conducted by Cohen and Pogue (1967) to evaluate the work of a number of portfolios
Summary
Over the past years, investing interest increases with the advancement of information and communication technology. 47-58, 2020 highest profits, but it can provide a large risk to investors (Tandelilin, 2010). Through the concept of diversification (the process of allocating funds to various stock investment alternatives) the risk or loss of a stock can be covered with profits on other stocks (Husnan, 2005). Through the process of stock diversification, investors need to conduct portfolio analysis. The model for portfolio analysis that considers the relationship of return and risk is the Markowitz model. The portfolio analysis process could be done by using Markowitz model. Through the concept of minimizing risk or maximizing the rate of return, the model is widely used to analyze the optimization of a portfolio or as a basis for forming a new portfolio. The design of the stock portfolio using the Markowitz model was conducted by Cohen and Pogue (1967) to evaluate the work of a number of portfolios
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