Work

Portfolio Optimization: a Comparative Analysis a single Index and Markowitz Model

Year: 2025

Type: article

Abstract: This study compares portfolio optimization using the Single Index Model and the Markowitz Model for companies in the IDXLQ45LCL Index (2022–2024). The Single Index Model simplifies calculations with market index variables, while the Markowitz Model emphasizes diversification to balance risk and return. The analysis identifies optimal stocks based on expected returns, risk, and excess return to beta ratios, aiming to guide investors in maximizing returns with minimal risk. Focused on environmentally sustainable companies, this research addresses gaps in prior studies regarding the models' effectiveness. By offering a comprehensive analysis, it contributes to better investment decisions and enriches the academic literature on portfolio optimization in sustainable markets.

Source: Journal of Finance and Business Digital

DOI: 10.55927/jfbd.v4i1.73

Authors: Prihatiningsih Prihatiningsih, Queena Ramadhani Early, Muhammad Rois

Institution: Politeknik Negeri Semarang

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4409296649

FWCI: 0.819

Cites: 5

Cited by: 1

Related to: 10