Analysis of optimal portfolio formation using the single index model approach on Bisnis-27 index shares on the Indonesia Stock Exchange for the 2018-2022 period

Based on data from the Indonesian Central Securities Depository (KSEI), the number of investors in the Indonesian stock market is increasing, indicating the popularity of stocks as an investment instrument. This study aims to examine the returns and risks of stocks in the optimal portfolio, compared to those not under the optimal portfolio, using the Single Index Model. Secondary data from the Bisnis-27 index were used for the analysis. The results show that returns differ significantly between stocks in the optimal portfolio and those that are not. However, these risks were found to be insignificant. The determination of the optimal portfolio in this study can be used as a reference by investors when making investment decisions.