Electronic Theses and Dissertation

Setiap investor mengharapkan investasinya memperoleh tingkat pengembalian maksimal dengan risiko yang masih dapat diterima, yang dalam Model Markowitz diukur melalui expected return dan varians. Beberapa perusahaan yang tergabung dalam indeks IDX30 digunakan sebagai kandidat dalam pembentukan portofolio saham. Penelitian ini bertujuan untuk membentuk portofolio saham optimal dari saham-saham dalam indeks IDX30 dengan menghitung expected return menggunakan metode CAPM dan menentukan bobot investasi menggunakan Model Markowitz. Sampel penelitian diambil dari 10 perusahaan teratas dalam indeks IDX30 dengan periode data Agustus 2022 sampai Agustus 2025. Hasil perhitungan CAPM menunjukkan terdapat empat saham yang memiliki nilai rata-rata expected return positif, yaitu PT Bank Rakyat Indonesia (Persero) Tbk. (BBRI), PT Astra International Tbk. (ASII), PT GoTo Gojek Tokopedia Tbk. (GOTO), dan PT United Tractors Tbk. (UNTR). Keempat saham tersebut kemudian dibentuk menjadi portofolio optimal menggunakan Model Markowitz dan dioptimasi dengan program kuadratik metode Wolfe. Hasil optimasi menunjukkan bahwa bobot BBRI sebesar 14,44%, ASII sebesar 1,36%, GOTO sebesar 10,20%, dan UNTR sebesar 65,52%, dengan bobot terbesar pada saham UNTR, sehingga menghasilkan expected return portofolio secara keseluruhan sebesar 48,02% dengan risiko portofolio sebesar 49%.
Kata Kunci: Saham, CAPM, Model Markowitz, Portofolio Optimal, IDX30.

Each investor expects their investment to obtain maximum returns with an acceptable level of risk, which in the Markowitz Model is measured through expected return and variance. Several companies included in the IDX30 index are used as candidates in forming a stock portfolio. This study aims to construct an optimal stock portfolio from stocks included in the IDX30 index by calculating expected returns using the CAPM method and determining investment weights using the Markowitz Model. The research sample consists of the top 10 companies in the IDX30 index over the period from August 2022 to August 2025. The results of the CAPM calculation show that there are four stocks with positive average expected returns, namely PT Bank Rakyat Indonesia (Persero) Tbk. (BBRI), PT Astra International Tbk. (ASII), PT GoTo Gojek Tokopedia Tbk. (GOTO), and PT United Tractors Tbk. (UNTR). These four stocks were then formed into an optimal portfolio using the Markowitz Model and optimized using quadratic programming with the Wolfe method. The optimization results indicate that the portfolio weights are 14.44% for BBRI, 1.36% for ASII, 10.20% for GOTO, and 65.52% for UNTR, with the largest weight allocated to UNTR, resulting in an overall portfolio expected return of 48.02% with a portfolio risk of 49%. Keywords: Stocks, CAPM, Markowitz Model, Optimal Portfolio, IDX30.