IDX30 Stock Portfolio Optimization Using the Mean-Semivariance Method

Mean-semivariance is a portfolio optimization method developed from the mean-variance method. Mean-semivariance method is free from assumptions and this method measures portfolio risk by using semivariance and semideviation. IDX30 is an index that measures the price performance of the best stocks in Indonesia. IDX30 is composed of 30 stocks with relatively large market capitalization, high liquidity, and good fundamentals. Stocks that have consistently been included in the IDX30 for five years (2018-2022) are optimized using the mean-semivariance method. The optimal portfolio is formed by allocating the weight of each stock to get the smallest risk. Based on the calculation, the optimal portfolio with the best performance is a portfolio composed of ADRO, ICBP, and PGAS stocks, with the Sharpe index of 0.083507. The weight for each stock in this portfolio is 16.1039% for stocks of PT Adaro Energy Indonesia Tbk (ADRO), 57.5554% for stocks of PT Indofood CBP Sukses Makmur Tbk (ICBP), and 26.3407% for stocks of PT Perusahaan Gas Negara Tbk (PGAS).