DOI: https://doi.org/10.14710/j.gauss.14.1.169-178

PEMBENTUKAN PORTOFOLIO SAHAM MENGGUNAKAN GLOBAL MINIMUM VARIANCE

ADELINE SALMAA 'AZZAH RARASATI  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
*Di Asih I Maruddani  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Rahmila Dapa  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Open Access Copyright 2025 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract
People are not limited to primary and secondary needs, but also lifestyle satisfaction. This increasing need makes people need to find ways to create more income, one of which is by investing. People in investing need the right strategy in order to minimize risk. Global Minimum Variance Portfolio is a method that can be used to build a portfolio by minimizing variance. This study aims to form a portfolio with stocks that are consistently included in the IDX30 Index during the February 2022 - February 2023 evaluation with the Global Minimum Variance Portfolio method, determine the proportion of each stock in the portfolio, and calculate the performance of the portfolio formed with the Sharpe Ratio. Based on the stock elimination process by looking at the expected return, company sector, and stock return correlation, three portfolio-forming stocks are obtained, namely BBCA, INCO, and KLBF stocks. The proportion of shares formed is 55,92% for BBCA, 14,10% for INCO, and 29,98% for KLBF. Portfolio performance with the Sharpe Ratio of 0,0667652 shows a positive value which means that the portfolio has good performance.
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Keywords: Portfolio; IDX30; Global minimum variance portfolio; and Sharpe Ratio

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Language : EN
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