Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

Yunan Najamuddin, Neni Meidawati, Nahar Savira Putri, Yuni Nustini and Muamar Nur Kholid
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Yunan Najamuddin: Department of Accounting, Faculty of Business and Economics, Universitas Islam Indonesia, Yogyakarta, Indonesia
Neni Meidawati: Department of Accounting, Faculty of Business and Economics, Universitas Islam Indonesia, Yogyakarta, Indonesia
Nahar Savira Putri: Department of Accounting, Faculty of Business and Economics, Universitas Islam Indonesia, Yogyakarta, Indonesia
Yuni Nustini: Department of Accounting, Faculty of Business and Economics, Universitas Islam Indonesia, Yogyakarta, Indonesia
Muamar Nur Kholid: Department of Accounting, Faculty of Business and Economics, Universitas Islam Indonesia, Yogyakarta, Indonesia

International Journal of Research in Business and Social Science (2147-4478), 2021, vol. 10, issue 8, 188-199

Abstract: The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category. Key Words:risk, return, optimal portfolio, Indonesian Sharia Stock Index

Date: 2021
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