Portfolio Optimization with Mean Variance Efficient Portfolio Method on Jakarta Islamic Indexed Stocks

Abstract

in stock portfolios, investors require the appropriate approach to ascertain the proportion of each stock so that the resulting portfolio is optimal. In this study, the stocks indexed by the Jakarta Islamic Index (JII) are optimized using the Mean Variance Efficient Portfolio (MVEP) method. The stocks GOTO, EXCL, ANTM, ITMG, and INDF are used as simulation data. The purpose of this study is to use the MVEP approach to determine the best portfolio from a combination of many stocks. The research results indicate that an optimum portfolio will be formed if the proportion for each stock is 26.53% for GOTO, 24.82% for ACES, 24.66% for ADRO, and 23.99% for TLKM. With those proportions, the expected portfolio return is 0.0074%. The result is expected to serve as a basis for decision-making for investors when investing.