FORMATION OF AN OPTIMAL PORTFOLIO OF LQ45 SHARES USING MARKOWITZ METHOD

Authors

  • Abdurrahman Al Ghifari Graduate Programme of Applied Statisics, Faculty of MIPA, Universitas Padjajaran, Indonesia
  • Toni Toharodin Departement of Statistics, Faculty of MIPA, Universitas Padjajaran, Indonesia
  • Triyani Hendrawati Departement of Statistics, Faculty of MIPA, Universitas Padjajaran, Indonesia

DOI:

https://doi.org/10.23969/jrak.v16i1.8445

Keywords:

K-Means algorithm, portfolio, markowitz, stock selection, LQ45

Abstract

Currently, there are still many investors who do not realize that stock management strategies are important. Therefore, as a practitioner, through this research, it is hoped that authors can help overcome this problem so that it can calculate maximum profits in-stock selection. This research aims at understanding stock management strategies by forming a Markowitz portfolio with the help of the K-Means grouping method. The population in this research included stock companies listed on the Indonesian Stock Exchange. The sample selection method used was the targeted sampling method. The sample data used was daily stock returns from LQ45 stock companies. The research results showed that based on data processing, stock grouping using the k-Means method and the Markowitz method was proven to produce maximum profits and low risk. Therefore, the method used in this research can be useful in the world of finance, especially to help investors.

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Published

2024-04-18