Efficiency Analysis of Optimal Portfolio Selection for Stocks in LQ45 Index

Abstract

The purpose of the study is to determine the model of the most efficient optimal portfolio from Markowitz and single index methods. This Study was performed using daily prices of stocks LQ45 index in the period 2016. The results showed that the most efficient portfolio formation is determined by using single index model with the ratio between expected return and risk 0.63; this is greater than the Markowitz model with ratio only 0.21. The greater this ratio the more optimal portfolio selection. This efficient portfolio produces 10 stocks that the fund proportion of stock BUMI 10%, PPRO 21%, ANTM 21%, ADRO 17%, PTBA 13%, MYRX 5%, LSIP 4%, ELSA 3%, INCO 3%, WSKT 4%. This efficient portfolio is resulting from expected return 0.58% and risk 0.91% for each day.