OPTIMAL PORTFOLIO FORMATION USING SINGLE INDEX MODEL

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..