The Analysis of Optimal Portfolio Formation: The Evidence from LQ-45 during the Covid19

Abstract

The purpose of this research was to determine the shares of the LQ 45 index members that can form an optimal portfolio during the one year of the Covid-19 pandemic, and to determine the proportion of each selected stock as well as the level of return and risk of the resulting portfolio. The method used is the Single Index Model approach. The results of the analysis show that using the Single Index Model approach, the shares of the LQ 45 Index members for the period April 2020 to March 2021 which can form an optimal portfolio consist of: ERAA of 0.3065, INKP of 0.217, ANTM of 0.216795, TKIM of 0.108794, PTPP is 0.058829, INCO is 0.064533, and BBTN is 0.027549.