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

Author

Listed:
  • 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)

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

Suggested Citation

  • Yunan Najamuddin & Neni Meidawati & Nahar Savira Putri & Yuni Nustini & Muamar Nur Kholid, 2021. "Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(8), pages 188-199, December.
    • Handle: RePEc:rbs:ijbrss:v:10:y:2021:i:8:p:188-199
    DOI: 10.20525/ijrbs.v10i8.1506
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