Pratiwi, Bella (2026) Optimalisasi Portofolio pada Bursa Saham Indonesia dan Singapura Menggunakan Model Markowitz. Sarjana (S1) thesis, Universitas Muhammadiyah Indonesia.
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Abstract
This study aims to determine the stock composition, optimal weights, expected return, and risk of optimal portfolios consisting of stocks listed on the Indonesia Stock Exchange (IDX), Singapore Exchange (SGX), and a cross-country portfolio during the 2018–2024 period using the Markowitz Model.
This study employs a quantitative descriptive research approach, with the Markowitz Model used as an analytical tool for constructing optimal portfolios. The data used are secondary data obtained from the official website of the Indonesia Stock Exchange and the Thomson Reuters global financial database. The sampling technique employed is purposive sampling. The study population consists of 373 stocks listed on the IDX and SGX during the 2018–2024 period. Based on the predetermined criteria, 200 stocks were selected as the research sample. Data processing was conducted using Microsoft Excel to determine the optimal weights, expected return, and portfolio risk.
The results show that the optimal portfolio on the Indonesia Stock Exchange (IDX) consists of 29 stocks, with an expected return of 2.89% and a risk of 3.80%. The optimal portfolio on the Singapore Exchange (SGX) consists of 17 stocks, with an expected return of 4.49% and a risk of 9.32%. Meanwhile, the cross-country optimal portfolio, which combines stocks from the IDX and SGX, consists of 35 stocks, with an expected return of 3.00% and a risk of 3.42%.
The results also indicate that the Markowitz Model is capable of producing a more efficient portfolio than an equal-weighted portfolio. Furthermore, cross-country diversification between IDX and SGX stocks provides a higher expected return of 0.11% and a lower risk of 0.38% compared with a portfolio consisting solely of IDX stocks. These findings demonstrate that the application of international diversification using the Markowitz Model can improve portfolio efficiency through a combination of stocks that provides a balance between investment returns and risk.
| Item Type: | Thesis (TA, Skripsi, Tesis, Disertasi) (Sarjana (S1)) |
|---|---|
| Contributors/Dosen Pembimbing,NIDN Dosen bisa diakses di LINK https://bit.ly/NIDNdosenunismabekasi: | Contribution Contributors / Dosen Pembimbing NIDN UNSPECIFIED Pangestuti, Rinda Siaga 0428118904 |
| Keywords / Kata Kunci: | Optimalisasi Portofolio, Model Markowitz, Portofolio Saham, Risk, Return |
| Subjects: | Manajemen Keuangan Manajemen |
| Faculty: | Fakultas Ekonomi > Manajemen S1 |
| Depositing User: | Ms. Bella Pratiwi |
| Date Deposited: | 27 Aug 2026 03:40 |
| Last Modified: | 27 Aug 2026 03:40 |
| URI: | http://repository.umindonesia.ac.id/id/eprint/10688 |
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