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ANALYSIS OF OPTIMAL PORTFOLIO FORMATION ON IDX30 INDEXED STOCK WITH THE MEAN ABSOLUTE DEVIATION METHOD

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 18 No. 3 (2024) · pp. 1753–1764

DOI
10.30598/barekengvol18iss3pp1753-1764
ISSN
2615-3017, 1978-7227
Published
2024-07-31
Publisher
PATTIMURA UNIVERSITY
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

Abstract

In investing in stocks, an investor must be able to form a stock portfolio to obtain optimal results. Factor analysis is one way to select stocks to form a portfolio. Factor analysis with Principal Component Analysis (PCA) extraction is used to summarize many variables into new smaller factors by producing the same information. The new factor formed is called a portfolio. This study aims to form an optimal portfolio using the Mean Absolute Deviation (MAD) method, which is an alternative to Markowitz optimization, and assess the stock portfolio's performance using the Sharpe index. This research uses IDX30-indexed stocks because the stocks in this index have high market capitalization and liquidity. The data used in this study are daily close stock price data on the IDX30 index from September 20, 2022, to September 20, 2023. The data used is secondary data obtained from the official website https://finance.yahoo.com/. From the analysis, three stock portfolios were obtained. With MAD optimization, the investment weight of each stock is obtained namely, in the first portfolio, the investment weight of AMRT shares is 21.95%, BBCA shares are 30%, BBNI shares are 18.05%, and BBRI shares are 30%. In the second portfolio, the investment weight of AKRA shares is 34.03%, BRPT shares are 40%, and MEDC shares are 25.97%. In the third portfolio, the investment weight of BMRI shares is 50%, and INDF shares are 50%. By measuring the performance of the Sharpe index, the optimal portfolio is obtained in the second portfolio with an expected return portfolio of 0.155% and a portfolio risk of 1.927%.

Collaboration network of the authors

40 authors · 100 co-authorship links · showing the 40 most connected

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Co-authorOrganisationJoint articles
Hendra PerdanaAffiliation unknown13
Wirda AndaniAffiliation unknown7
Ray TamtamaAffiliation unknown5
Shantika MarthaAffiliation unknown3
Siti AprizkiyandariAffiliation unknown2
Tiffany ArdhithaAffiliation unknown2
Indah OktavianiAffiliation unknown2
Dinda TiaraAffiliation unknown2
Ainun ZakiahAffiliation unknown2
Noerul HaninAffiliation unknown2
David Jordy DhandioAffiliation unknown2
Dadan KusnandarAffiliation unknown1
Geby MarolaAffiliation unknown1
Hani Dwi RetnaniAffiliation unknown1
Inggriani Millennia TaralyAffiliation unknown1
Rita ApriliyantiAffiliation unknown1
Steven Jansen SinagaAffiliation unknown1
Maria Welita DwinandaAffiliation unknown1
Widad ImtiyazAffiliation unknown1
Lisa LestariAffiliation unknown1
Fritzgerald Muhammad ArsyiAffiliation unknown1
Naomi Nessyana DebatarajaAffiliation unknown1
Nurfitri Imro'ahAffiliation unknown1
Herina MarlisaAffiliation unknown1
Rifkah Alfiyyah SaryAffiliation unknown1
Wiji UmiatiAffiliation unknown1
Della ZariaAffiliation unknown1
Muhammad FauzanAffiliation unknown1
Nabila Izza HarnantaAffiliation unknown1
Hendri AgustonoAffiliation unknown1
Rifki PebriyandiAffiliation unknown1
Risky GunawanAffiliation unknown1
Cinta Priscillia MaharaniAffiliation unknown1
Hairil Al-HamAffiliation unknown1
Preatin PreatinAffiliation unknown1
Nurhanifa NurhanifaAffiliation unknown1
Louis Putra JayaAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://ojs3.unpatti.ac.id/index.php/barekeng/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">ANALYSIS OF OPTIMAL PORTFOLIO FORMATION ON IDX30 INDEXED STOCK WITH THE MEAN ABSOLUTE DEVIATION METHOD</dc:title>
	<dc:creator>Pratama, Aditya Nugraha</dc:creator>
	<dc:creator>Satyahadewi, Neva</dc:creator>
	<dc:creator>Sulistianingsih, Evy</dc:creator>
	<dc:description xml:lang="en-US">In investing in stocks, an investor must be able to form a stock portfolio to obtain optimal results. Factor analysis is one way to select stocks to form a portfolio. Factor analysis with Principal Component Analysis (PCA) extraction is used to summarize many variables into new smaller factors by producing the same information. The new factor formed is called a portfolio. This study aims to form an optimal portfolio using the Mean Absolute Deviation (MAD) method, which is an alternative to Markowitz optimization, and assess the stock portfolio's performance using the Sharpe index. This research uses IDX30-indexed stocks because the stocks in this index have high market capitalization and liquidity. The data used in this study are daily close stock price data on the IDX30 index from September 20, 2022, to September 20, 2023. The data used is secondary data obtained from the official website https://finance.yahoo.com/. From the analysis, three stock portfolios were obtained. With MAD optimization, the investment weight of each stock is obtained namely, in the first portfolio, the investment weight of AMRT shares is 21.95%, BBCA shares are 30%, BBNI shares are 18.05%, and BBRI shares are 30%. In the second portfolio, the investment weight of AKRA shares is 34.03%, BRPT shares are 40%, and MEDC shares are 25.97%. In the third portfolio, the investment weight of BMRI shares is 50%, and INDF shares are 50%. By measuring the performance of the Sharpe index, the optimal portfolio is obtained in the second portfolio with an expected return portfolio of 0.155% and a portfolio risk of 1.927%.
&amp;nbsp;</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2024-07-31</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/12330</dc:identifier>
	<dc:identifier>10.30598/barekengvol18iss3pp1753-1764</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 18 No 3 (2024): BAREKENG: Journal of Mathematics and Its Application; 1753-1764</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol18iss3year2024</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/12330/8569</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2024 Aditya Nugraha Pratama, Neva Satyahadewi, Evy Sulistianingsih</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>