ANALISIS PEMBENTUKAN PORTOFOLIO YANG OPTIMAL MENGGUNAKAN MODEL MARKOWITZ PADA PERUSAHAAN ASURANSI

Abstract

This research is aimed to find out how to forman optimal combined stock that includes in efficient stock by using
Markowitz portfolio analysis. The research sample consists of 5 assurance companies which are listed in
Indonesia Stock Exchange (IDX). The data is the 2014 monthly stock price and the dividend data which has
been shared in 2014.The result of the research of 5 combined stocks is 10 portfolios. There are 2 efficient portfolio
with equal proportion (50%: 50%) i.e. portfolio 5, and portfolio 2. Meanwhile, there are 2 efficient portfolio
unequal proportion (40%: 60%) i.e. portfolio 5 and portfolio 2. The selection of efficient portfolio is according to
investor preference i.e.: Risk taker investor, the investor will choose portfolio 5. Portfolio 5 with equal proportion
(50%:50%) has generatedthe level of profit is 6.57% and the risk is 10.78%. Meanwhile, portfolio 5 with
unequal proportion (40%:60%) has generatedthe level of profit is 6.37% and the risk is 9.47%.Risk Neutral
investors, there are no portfolio with equal proportion (50%:50%)in accordance with the preferences of the
investor. Meanwhile, there are no portfolio unequal portfolio (40%:60%) in accordance with the preferences of
risk neutral investor.Risk averter investor, this investor choose portfolio 2 with equal proportion (50%:50%) has
generated the level of profit is 4.26% and the risk is 5.36%. Meanwhile, portfolio 2 with unequal proportion
(40%:60%) hasgenerated the level of profit is 4.8% and the risk is 5.35%.

Keywords: markowitz model portfolio, investment, stock.