E-Jurnal Manajemen, Vol. 9, No. 4, 2020 : 1614-1633 ISSN : 2302-8912 DOI: https://doi.org/10.24843/EJMUNUD.2020.v09.i04.p19 1614 PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM INDEKS IDX80 DENGAN MENGGUNAKAN MODEL MARKOWITZ Ni Kadek Arista Dewi 1 Made Reina Candradewi 2 1,2 Fakultas Ekonomi dan Bisnis Universitas Udayana, Bali, Indonesia email: aristadewi1998@gmail.com ABSTRAK Tujuan penelitian ini untuk mengetahui saham-saham perusahaan yang masuk ke dalam portofolio optimal beserta besarnya proporsi dana akhir masing-masing saham perusahaan. Penelitian ini dilakukan di Bursa Efek Indonesia pada saham perusahaan yang termasuk indeks IDX80 periode Februari-September 2019. Penelitian ini menggunakan data sekunder dengan metode pengumpulan data observasi nonpartisipan. Sampel penelitian berjumlah 74 saham yang didapat melalui metode purposive sampling dengan teknik analisis data menggunakan model Markowitz. Hasil penelitian menunjukkan terdapat 7 saham yang layak menjadi anggota portofolio optimal model Markowitz pada saham indeks IDX80. Adapun ketujuh saham tersebut antara lain, ACES 11,458 persen, HOKI 2,539 persen, ICBP 26,947 persen, PWON 33,071 persen, TBIG 9,541 persen, WIKA 2,760 persen, dan WOOD 13,684 persen yang memberikan expected return portofolio sebesar 1,806 persen dengan tingkat risiko portofolio sebesar 0,705 persen. Kata Kunci: investasi, portofolio optimal, indeks IDX80, model Markowitz ABSTRACT The purpose of this study is to determine the company's shares that are included in the optimal portfolio along with the magnitude of the final fund proportion of each company's shares. This research was conducted at the Indonesia Stock Exchange on company shares that included the IDX80 index from February to September 2019. This study used secondary data with nonparticipant observation data collection methods. The research sample of 74 shares obtained through purposive sampling method with data analysis techniques using the Markowitz model. The results showed that there were 7 shares worthy of being members of the optimal portfolio of Markowitz models on IDX80 index shares. The seven shares included ACES 11.458 percent, HOKI 2.539 percent, ICBP 26.947 percent, PWON 33.071 percent, TBIG 9.541 percent, WIKA 2.760 percent, and WOOD 13.684 percent which gave an expected portfolio return of 1.806 percent with a portfolio risk of 0.705 percent. Keywords: investment, optimal portfolio, IDX80 index, Markowitz model