OPTIMAL PORTFOLIO ANALYSIS ON BANKING STOCKS IN THE INDONESIAN STOCK EXCHANGE U S I N G TH E ME A N VA R I AN C E EF FI C IE NT PORTFOLIO (MVEP) METHOD AND THE DATA ENVELOPMENT ANALYSIS (DEA) APPROACH

Abstract

Stocks remain a highly sought-after investment, offering high-profit potential alongside significant risks. An optimal portfolio seeks to maximize returns while minimizing losses, achievable through methods like the Mean-Variance Efficient Portfolio (MVEP) and Data Envelopment Analysis (DEA). This study demonstrates that combining DEA and MVEP yields an efficient portfolio composition—BBCA (87.1%), BMRI (5.9%), and ARTO (2.4%)—delivering a 0.03% return with 2.2% risk, highlighting its effectiveness in balancing risk-return and asset utilization. The integrated DEA-MVEP approach serves as a strategic model for stock selection and portfolio management, particularly in banking. Investors are advised to evaluate not only historical returns but also stock efficiency for optimal portfolio construction.