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Proceedings

OPTIMAL PORTFOLIO FORMATION USING SINGLE INDEX MODEL

Management Dynamics Conference 8 · Vol. 8 No. 1 (2023) · pp. 290–302

Published
2023-06-22
Publisher
FPJM
Language
en

Abstract

Abstract The objective of this task was to create an optimal portfolio using shares from companies listed in the LQ-45 Index for the period between June 2020 and June 2022. The portfolio was formed using the Single Index Model and considered four consistently active companies during 2021-2022: Merdeka Copper Gold Tbk, Medco Energi International Tbk, Mitra Keluarga Karya Sehat Tbk, and Media Nusantara Citra Tbk. The results revealed that, for the period between June 2020 and June 2021, three of the sample companies—Merdeka Copper Gold Tbk, Medco Energi International Tbk, and Media Nusantara Citra Tbk—met the optimal criteria. Furthermore, portfolios created using the Single Index Model exhibited higher returns compared to market returns in both periods and lower portfolio risk compared to market risks during 2021-2022..

Keywords

Collaboration network of the authors

40 authors · 84 co-authorship links · showing the 40 most connected

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  • Tadulako University
  • Riau University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
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Co-authorOrganisationJoint articles
Yonifia AnjanikaAffiliation unknown3
WahdaAffiliation unknown3
SYAMSU ALAMAffiliation unknown2
Insany Fitri NurqamarAffiliation unknown2
SabirAffiliation unknown2
Andi KusumawatiAffiliation unknown2
AlimuddinAffiliation unknown2
Abdullah SanusiAffiliation unknown2
Ahmad MaulanaAffiliation unknown2
Sufiarina SufiarinaAffiliation unknown2
Mufrina MufrinaAffiliation unknown2
Hendry Frand TiaAffiliation unknown2
Anggel Hardi YantoAffiliation unknown2
Urip SulistiyoAffiliation unknown2
David IqroniAffiliation unknown2
La Ode Ismail AhmadAffiliation unknown2
Abd. Bashir FatmalAffiliation unknown2
Sahrul SaehanaTadulako University1
Supriyatman SupriyatmanTadulako University1
Arfa ApriliantiAffiliation unknown1
Fauzi R. RahimAffiliation unknown1
. KarmilaAffiliation unknown1
Rakhman LabaAffiliation unknown1
ZulfikarAffiliation unknown1
Muh. AkmalAffiliation unknown1
Tina Andrieta PorayouwAffiliation unknown1
Rahman LabaAffiliation unknown1
Indah Permata SariRiau University1
Muhayyina WahidahAffiliation unknown1
Rezki SelpiatyAffiliation unknown1
Andi Rifka Yuliana SariAffiliation unknown1
Sahrullah SahrullahAffiliation unknown1
Sitti Musdalifah AhmadAffiliation unknown1
Yusradinafi YusradinafiAffiliation unknown1
Tomy AgustinusAffiliation unknown1
Ella Rizky RamadhaniAffiliation unknown1
Budhi AkbarAffiliation 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://journal.unhas.ac.id/index.php/madic8/oai, first harvested 2 Nov 2026, last seen 2 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">OPTIMAL PORTFOLIO FORMATION USING SINGLE INDEX MODEL </dc:title>
	<dc:creator xml:lang="en">Setiyono, Nia Nanda Nugrayani </dc:creator>
	<dc:creator xml:lang="en">Ali, Muhammad</dc:creator>
	<dc:creator xml:lang="en">Nohong, Mursalim</dc:creator>
	<dc:subject xml:lang="en">Optimal Portfolio</dc:subject>
	<dc:subject xml:lang="en">Single Index Model</dc:subject>
	<dc:subject xml:lang="en">LQ-45 Index</dc:subject>
	<dc:description xml:lang="en">Abstract
The objective of this task was to create an optimal portfolio using shares from companies listed in the LQ-45 Index for the period between June 2020 and June 2022. The portfolio was formed using the Single Index Model and considered four consistently active companies during 2021-2022: Merdeka Copper Gold Tbk, Medco Energi International Tbk, Mitra Keluarga Karya Sehat Tbk, and Media Nusantara Citra Tbk. The results revealed that, for the period between June 2020 and June 2021, three of the sample companies—Merdeka Copper Gold Tbk, Medco Energi International Tbk, and Media Nusantara Citra Tbk—met the optimal criteria. Furthermore, portfolios created using the Single Index Model exhibited higher returns compared to market returns in both periods and lower portfolio risk compared to market risks during 2021-2022..</dc:description>
	<dc:publisher xml:lang="en">FPJM</dc:publisher>
	<dc:date>2023-06-22</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unhas.ac.id/index.php/madic8/article/view/25746</dc:identifier>
	<dc:source xml:lang="en">Management Dynamics Conference 8; Vol. 8 No. 1 (2023): MADIC ; 290-302</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/madic8/article/view/25746/10039</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2023 Management Dynamics Conference 8</dc:rights>
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