ANALYSIS OF OPTIMAL PORTFOLIO PERFORMANCE USING MARKOWITZ MODEL AND SINGLE INDEX MODEL (CASE STUDY ON LQ45 INDICES)
DOI:
https://doi.org/10.22441/ihasj.2022.v5i1.03Abstract
This study aims to analyze performance of Markowitz Model and Single Index Model to construct optimal portfolio. Descriptive analysis method with quantitative approach is used in this study. Construction of optimal portfolio using historical daily data from the first semester of the study and evaluation of optimal portfolio performance using historical daily data form the second semester of the study. This study assumed that investment applied as the optimal portfolio constructed by both models. Therefore, performance evaluation both portfolios conducted on second semester of the study using Sharpe ratio, Treynor ratio, and Jensen’s Alpha. This study shows that there are no significance differences of optimal portfolio performance using Markowitz Model and Single Index Model.Downloads
Downloads
Published
How to Cite
Issue
Section
License
The copyright to this article is transferred to Universitas Mercu Buana (UMB) if and when the article is accepted for publication. The undersigned hereby transfers any and all rights in and to the paper including without limitation all copyrights to UMB. The undersigned hereby represents and warrants that the paper is original and that he/she is the author of the paper, except for material that is clearly identified as to its original source, with permission notices from the copyright owners where required. The undersigned represents that he/she has the power and authority to make and execute this assignment.
We declare that:
1. This paper has not been published in the same form elsewhere.
2. It will not be submitted anywhere else for publication prior to acceptance/rejection by this Journal.
3. A copyright permission is obtained for materials published elsewhere and which require this permission for reproduction.
Furthermore, I/We hereby transfer the unlimited rights of publication of the above mentioned paper in whole to UMB. The copyright transfer covers the exclusive right to reproduce and distribute the article, including reprints, translations, photographic reproductions, microform, electronic form (offline, online) or any other reproductions of similar nature.
The corresponding author signs for and accepts responsibility for releasing this material on behalf of any and all co-authors. This agreement is to be signed by at least one of the authors who have obtained the assent of the co-author(s) where applicable. After submission of this agreement signed by the corresponding author, changes of authorship or in the order of the authors listed will not be accepted.
Retained Rights/Terms and Conditions
1. Authors retain all proprietary rights in any process, procedure, or article of manufacture described in the Work.
2. Authors may reproduce or authorize others to reproduce the Work or derivative works for the authors personal use or for company use, provided that the source and the UMB copyright notice are indicated, the copies are not used in any way that implies UMB endorsement of a product or service of any employer, and the copies themselves are not offered for sale.
3. Although authors are permitted to re-use all or portions of the Work in other works, this does not include granting third-party requests for reprinting, republishing, or other types of re-use.
