July 3, 2020


The analysis of the optimal portfolio allows investors to analyze appropriate to minimize the risks accepted by the objective of maximizing profit with the same risk among existing stocks. Data Envelopment Analysis (DEA) is used to determine the stocks with efficient performance based on ratio analysis. Having selected some stocks, the efficient formation of the optimal portfolio is then performed with a single index models and determined how much the proportion of funds invested in each stock. The sample data used are stocks in listed ISSI 2012-2016. Based on the analysis of efficiency as a candidate portfolio models using DEA - CCR and DEA – BCC, it generate 16 efficient stocks that form the candidate portfolio. After the analysis of all 16 efficient stock, it obtained 6 stocks to form the optimal portfolio

Keywords: Optimal Portfolio, DEA, Stocks Efficiency, Single Index Model


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