DOI: https://doi.org/10.14710/j.gauss.14.2.547-553

OPTIMASI PORTOFOLIO CAPITAL ASSET PRICING MODEL (CAPM) PADA INDEKS BISNIS-27

Aditya Fadillah Aridwianto  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Dhelia Artasevia Artasevia  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Najwa Mayang Vianisa  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Syifa Gumay  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Valentin Asman Lestari  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
*Di Asih I Maruddani orcid scopus publons  -  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
Stock efficiency analysis helps investors understand the intrinsic value of a stock and serves as a foundation for identifying risk factors and potential returns associated with it. This study evaluates stocks in the Business Index 27 from 22 Mei 2023 – 22 Mei 2024 by considering criteria such as positive returns, lowest correlation, and sectoral differences. Based on this evaluation, three stocks with efficient performance were selected: MEDC, BRPT, and JSMR. An optimal portfolio was formed by weighting these three stocks using the Capital Asset Pricing Model (CAPM) method, with weight proportions of MEDC at 23.3%, BRPT at 11.7%, and JSMR at 64.9%. Risk evaluation using the Historical Simulation method to calculate Value at Risk (VaR) indicates a potential loss of 10%. This study provides insights into identifying efficient stocks and forming an optimal portfolio, which can assist investors in making investment decisions in the Business Index 27.

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Keywords: Stock Efficiency; Business Index 27; CAPM; Optimal Portfolio; Value at Risk (VaR).

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Section: Articles
Language : EN
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