Designing Optimal Green Investment Portfolio Using Markowirtz Model
DOI:
https://doi.org/10.52909/jbemk.v4i2.184Keywords:
Optimal Portfolio, Green Investment, Markowitz Model, SRI-Kehati IndexAbstract
- This research aims to create an optimal portfolio that is not only profitable from a financial perspective, but also takes into account the concept of natural and social environmental sustainability (green investment).
Trends and public attention towards sustainability concepts are not only limited to consumption patterns but have also expanded to investment behavior. In other words, people are not only considering the financial returns of their investments, but also their contributions to the natural environment, the economy, and social welfare. The chosen research approach was quantitative, with analysis based on the Markowitz Model. The Markowitz Model was used to construct a stock portfolio from stocks included in the SRI-Kehati index during the period of 2020-2023. The data that has been collected was then analyzed using the Solver Add-ins in Microsoft Excel. The study findings indicated that out of 12 stocks tested, there were 4 stocks that are ideal to include in the optimal portfolio, consisting of BBCA (with a weight of 37.59%), KLBF (with a weight of 30.44%), SIDO (with a weight of 21.67%), and TLKM (with a weight of 10.30%). From these four stocks, the expected return from the investment portfolio is 0.00522211, and the portfolio risk is 0.0391. This study was expected to help investors determine optimal portfolio diversification, while being sustainable not only from a financial perspective, but also ecologically and socially
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