THROUGH THE PORTFOLIO FORMATION IN BANKING INDUSTRY: INSIGHT THE MODEL OF MARKOWITZ

International Journal of Research in Commerce and Management Studies Pub Date : 1900-01-01 DOI:10.38193/ijrcms.2021.3602

Budi Wirawan Panoedjoe Soebagyo, W. H S

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Abstract

Investment is considered to have an important role in today's dynamic environment and the hobby of investing is growing from day to day. In the modern era, many opportunities are available for investors to invest. But according to the investment decision concerned, it depends on different things but there is no denying the fact that risk and return play an important role in making investment decisions. The method usually used by investors in diversifying is through portfolio formation. This research was conducted on the capital market index, namely IDX30 for the period December 2019-September 2020. Portfolios were formed using the Markowitz model, the data in this study were sourced from the IDX Monthly Statistic or the Indonesia Stock Exchange. Research is carried out to form the Issuer's shares into an optimal portfolio and the proportion of funds from each share formed using the Markowitz method. From these calculations, the results of the 3 most optimal share issuers, namely PT Bank Rakyat Indonesia AgroniagaTbk or AGRO with a proportion of 43%, BBHI or PT Bank Harda International Tbk got a proportion of 44% and the last is PT BTPN Syariah Tbk or BTPS getting a proportion by 13%. With the combination of these three stocks, it has a fairly large portfolio return expectation but also has a large portfolio risk. Expected Return Portfolio is 11.49% and a risk of 7.12%.

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通过银行业的投资组合形成:洞察马科维茨模型

投资被认为在当今充满活力的环境中扮演着重要的角色，投资的爱好也日益增长。在现代，投资者有很多投资机会。但就投资决策而言，它取决于不同的因素，但不可否认的是，风险和回报在投资决策中起着重要作用。投资者通常采用的分散投资的方法是通过组合形成。本研究以资本市场指数IDX30为研究对象，时间为2019年12月- 2020年9月。采用Markowitz模型形成投资组合，本研究的数据来源于IDX月度统计或印度尼西亚证券交易所。研究如何将发行人的股份构成最优投资组合，并利用马科维茨方法确定各股份的资金比例。从这些计算中，三个最优的股票发行人的结果，即PT Bank Rakyat Indonesia AgroniagaTbk或AGRO的比例为43%，BBHI或PT Bank Harda International Tbk的比例为44%，最后是PT BTPN Syariah Tbk或BTPS的比例为13%。这三只股票的组合具有较大的投资组合收益预期，同时也具有较大的投资组合风险。预期收益为11.49%，风险为7.12%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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International Journal of Research in Commerce and Management Studies

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