https://github.com/zeinhasan/markowitz-model-with-uniform-distribution-simulation
Portfolio Optimization on LQ45 Stocks Using the Markowitz Model with Uniform Distribution Simulation Post-Pandemic
https://github.com/zeinhasan/markowitz-model-with-uniform-distribution-simulation
Last synced: 4 months ago
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Portfolio Optimization on LQ45 Stocks Using the Markowitz Model with Uniform Distribution Simulation Post-Pandemic
- Host: GitHub
- URL: https://github.com/zeinhasan/markowitz-model-with-uniform-distribution-simulation
- Owner: zeinhasan
- License: mit
- Created: 2024-08-06T07:56:21.000Z (10 months ago)
- Default Branch: main
- Last Pushed: 2024-08-06T08:04:06.000Z (10 months ago)
- Last Synced: 2025-01-02T11:28:40.688Z (5 months ago)
- Language: R
- Size: 319 KB
- Stars: 0
- Watchers: 1
- Forks: 1
- Open Issues: 0
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Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# Markowitz-Model-with-Uniform-Distribution-Simulation
Portfolio Optimization on LQ45 Stocks Using the Markowitz Model with Uniform Distribution Simulation Post-Pandemic
# Summary
Impact of the COVID-19 Pandemic on Investment Sectors
The COVID-19 pandemic has not only affected the healthcare sector but also had a significant impact on investment sectors. The outbreak led to fluctuations in the stock market due to uncertainty in the global economy and health conditions. In 2020, the LQ45 index declined by more than 7% compared to the IDX Composite Index, which fell by 5.09%. However, some companies managed to achieve substantial net profits despite the pandemic.
To minimize investment risk, analyzing various stocks is crucial to achieving minimal risk. One effective approach to selecting an optimal portfolio is using the Markowitz model, which focuses on minimizing risk and maximizing expected returns to construct an optimal portfolio. Applying the Markowitz model post-pandemic yielded the highest return and Sharpe ratio, with a return of 18.38% and a Sharpe ratio of 570.96%. The optimal portfolio composition includes BBCA at 13.58%, BBRI at 5.63%, BMRI at 77.24%, ASII at 0.2%, HMSP at 1.89%, and UNVR at 1.45%. This portfolio serves as a recommendation for optimal investment.