Portfolio Analysis Using the Markowitz Model with Stock Lot Constraints and Target Returns or Without Target Returns

Abstract

Stock investment activities are inseparable from returns and risk, so an investor needs expertise to minimize investment risk. One way is by forming an optimal portfolio. The purpose of this research is to determine the number of stock lots in the optimal portfolio. This research analyzes the closing prices of stocks during the research period with the criteria of stocks being listed on the IDX30 index consecutively for 20 periods and belonging to the large cap group (the stock market capitalization exceeds $10 billion). Then the number of stock lots is calculated using the Markowitz model with stock lot constraints and target returns or without target returns. From the selected stocks, an optimal portfolio is formed using Microsoft Excel. Based on the research results, a combination of an optimal portfolio with a target return is ASII: 5, BBCA: 10, BBNI: 23, BBRI: 1, BMRI: 23, TLKM: 93, UNVR: 12, where the risk is 0,000149 and the target expected return is 0,00155. Meanwhile, the optimal portfolio without a target return is ASII: 8, BBCA: 7, BBNI: 32, BBRI: 40, BMRI: 9, TLKM: 62, UNVR: 17, where a risk is 0,000147 and the expected return is 0,00148. This research can be used as a consideration for investors in determining investment portfolios.