Kajian Metode Markowitz dalam Optimasi Portofolio Saham Sektor Perbankan (Studi PT Bursa Efek Indonesia)

Abstract

The Markowitz method, also known as the Mean-Variance Portfolio Theory, is used to determine a portfolio that provides optimal returns by minimizing risk. This study utilizes historical closing price data of six banking sector stocks during January 2025, obtained from the Indonesia Stock Exchange (IDX). Through a quantitative approach and analysis based on Microsoft Excel and Python, a simulation was conducted to form an optimal portfolio using two different asset weight combinations. The results of the study show that the application of the Markowitz method is capable of forming a portfolio with better efficiency compared to a Naive (Random) Diversified portfolio. The Markowitz portfolio achieved an expected daily return of 0.387%, whereas the Naive Diversification (Random) portfolio achieved 0.327%. This study is expected to serve as a reference for investors in making more rational and data-driven investment decisions within a single stock sector