How to optimize the CPO Share Portfolio in the Composite Stock Price Index
الموضوعات :haryadi sarjono 1 , Boyke __Setiawan __Soeratin Boyke __Setiawan __Soeratin 2 , Richard __Ananda __Gunawan Richard __Ananda __Gunawan 3
1 - BINUS University
2 - BINUS University
3 - BINUS University
الکلمات المفتاحية: Portfolio Optimization, Crude Palm Oil Stocks, Adjusted Risk Ranking, Linear Programming, Risk-return trade-off.,
ملخص المقالة :
The decision-making process in investing in the composite stock price index will not be separated from risk and fluctuating market performance, but by considering asset correlation, assessing how these assets move together or apart, it is important to identify assets with low or negative correlation, which will effectively lower the overall portfolio risk. This research aims to optimize the Crude Palm Oil (CPO) stock portfolio from 2016 to 2022 using a customized risk ranking approach, linear programming, and Analysis of variance (ANOVA). in other words, this research is to create a theoretical portfolio that will achieve optimal performance based on the latest historical data that is available. The study incorporates factors like volatility, market performance, and company fundamentals to evaluate stock risks comprehensively. Linear programming aids in allocating funds optimally among selected CPO stocks while considering budget limits, diversification, and risk. Results highlight the potential for a balanced portfolio that maximizes returns while managing risk. Practical applications include guiding investors, fund managers, and bankers in making informed decisions for portfolio management, especially within the Indonesian stock market. During the research period there were 10 stocks that consistently formed the LQ-45 index, whereas based on the Coefficient of Variance (CV) ranking criteria, only 4 stocks were selected for the portfolio optimization process. The study's novelty lies in combining refined risk assessment, linear programming, and ANOVA analysis, enhancing portfolio optimization for CPO stocks in the Jakarta Composite Index.
