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

Prihatiningsih Prihatiningsih; Queena Ramadhani  Early; Muhammad Rois

doi:10.55927/jfbd.v4i1.73

Authors

Prihatiningsih Prihatiningsih Jurusan Akuntansi, Politeknik Negeri Semarang
Queena Ramadhani Early Jurusan Akuntasi, Politeknik Negeri Semarang
Muhammad Rois Jurusan Akuntansi, Politeknik Negeri Semarang

DOI:

https://doi.org/10.55927/jfbd.v4i1.73

Keywords:

Single Index Model, Markowitz Model, Portfolio Optimization, IDXLQ45LCL, Investment Strategy

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.

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