Analysis of Stock Portfolio Performance Optimization Using the Mean Absolute Deviation Model, Single Index Model, and Capital Asset Pricing Model

DOI

10.2991/978-94-6463-400-6_42How to use a DOI?

Keywords

Optimal Portfolio; Mean Absolute Deviation; Single Index Model; Capital Asset Pricing Model; Risk Adjusted Return

Abstract

This research aims to analyze the formation of an optimal portfolio for LQ45 shares in the period before Covid-19 in 2017–2019 and the Covid-19 period in 2020–2022, as well as finding out which method performs better in forming an optimal portfolio. The object of this research includes stocks that are consistently listed on the LQ45 Index. The research methods used in forming optimal portfolios are the Mean Absolute Deviation (MAD) model, the Single Index Model (SIM), and the Capital Asset Pricing Model (CAPM) with measuring portfolio performance using the Risk Adjusted Return method, namely the Sharpe Index, Treynor Index, and Jensen Index. The research results show that the optimal portfolio with the Mean Absolute Deviation (MAD) model consists of 10 shares in the period before Covid-19 and 5 shares in the Covid-19 period, the optimal portfolio of the Single Index Model consists of 5 shares in the period before Covid-19 and 9 shares. Shares in the Covid-19 period, while the optimal portfolio for the Capital Asset Pricing Model consists of 13 shares in the pre-Covid-19 period and 15 shares in the Covid-19 period. Of the three models, the results of calculating the performance index using the Risk Adjusted Return method (Sharpe Index, Treynor Index, Jensen Index) state that for the period before Covid-19 and the Covid-19 period the Single Index Model (SIM) has a higher value than the Mean Absolute Deviation and Capital Asset Pricing Model, so that the optimal portfolio with the Single Index Model has better performance.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Rista Ismayanti Nur
AU  - Alimuddin
AU  - Asri Usman
PY  - 2024
DA  - 2024/05/22
TI  - Analysis of Stock Portfolio Performance Optimization Using the Mean Absolute Deviation Model, Single Index Model, and Capital Asset Pricing Model
BT  - Proceedings of the 8th International Conference on Accounting, Management, and Economics (ICAME 2023)
PB  - Atlantis Press
SP  - 556
EP  - 573
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-400-6_42
DO  - 10.2991/978-94-6463-400-6_42
ID  - Nur2024
ER  -