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Analysis of Optimal Portfolio Formation Using Single Index Model and Stochastic Dominance on Sri-Kehati Index

Author

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  • Samsul Huda

    (Mercu Buana University, Indonesia)

  • Pardomuan Sihombing

    (Mercu Buana University, Indonesia)

Abstract

This study directly applies the Single Index Model and Stochastic Dominance to solve the portfolio selection problem. This study aims to determine the difference in performance between the Single Index Model and Stochastic Dominance. The use of secondary data was used in this study by selecting the sample using the purposive sampling technique. If viewed based on the portfolio return, the single-index model can produce a portfolio return of (1.548%) and a stochastic dominance return of (0.888%). The results show that the value of the Stochastic Dominance portfolio formation has a Treynor index which is 2.22% higher than the Single Index Model with a Treynor index of 2.09%.

Suggested Citation

  • Samsul Huda & Pardomuan Sihombing, 2022. "Analysis of Optimal Portfolio Formation Using Single Index Model and Stochastic Dominance on Sri-Kehati Index," European Journal of Business and Management Research, European Open Science, vol. 7(1), pages 160-165, January.
    • Handle: RePEc:epw:ejbmr0:v:7:y:2022:i:1:id:51264
    DOI: 10.24018/ejbmr.2022.7.1.1264
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