J
Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan Abnus Publisher

Optimizing Green Investment Portfolios Using the Markowitz Model for Sustainable Financial and Social Returns

2022-05-16
Published
24-41
Pages
OPEN
Access
MH
Muhammad M. Hakim
Universitas Dr. Soetomo, Surabaya
NN
Nurhayati Nurhayati
STIE GICI Business School, Indonesia
JS
Joko Setiawan
Universitas Dr Soetomo, Surabaya
Abstract

Purpose: This research aims to create an optimal portfolio that is not only profitable from a financial perspective, but also considers the concept of natural and social environmental sustainability (green investment).

Research Methodology: The chosen research approach was quantitative, with an 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 collected data were then analyzed using the Solver Add-ins in Microsoft Excel.

Results: The study findings indicated that out of the 12 stocks tested, four stocks were 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%).

Conclusions: Sustainable or green investment is increasingly important, and the Markowitz Model can be applied to optimize portfolios of sustainable stocks, as shown in this study where four stocks (BBCA, KLBF, SIDO, and TLKM) formed an optimal portfolio with an expected return of 0.00522211 and a risk of 0.0391.

Limitations: This study relies on historical data and monthly closing stock prices, which may not accurately predict future returns. Future research could incorporate daily prices, macroeconomic factors, market sentiment, and external variables such as global news to improve portfolio optimization and accuracy.

Contributions: This study integrates the Markowitz model with green investment strategies, providing a practical approach to constructing an optimal portfolio that considers both financial returns and ESG criteria.

Green Investment Markowitz Model Optimal Portofolio SRI-Kehati Index
How to Cite
Hakim, M. M. ., Nurhayati, N., & Setiawan , J. (2022). Optimizing Green Investment Portfolios Using the Markowitz Model for Sustainable Financial and Social Returns. Jurnal Bisnis, Ekonomi, Manajemen, Dan Kewirausahaan , 2(1), 24-41. https://doi.org/10.52909/jbemk.v4i2.184
Endnote/Zotero/Mendeley (RIS) BibTeX
References
  1. Abdullah, M. A. F. (2021). Analysis of consumer motives in purchasing decisions and the use of instant cooking seasonings. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(1), 27–35. https://doi.org/10.52909/jbemk.v1i1.24
  2. Agusinta, L., Nugroho, A. E., Fachrial, P., & Suryawan, R. F. (2021). Assessment model of employee competence, ground support equipment effectiveness, and satisfaction on service quality. Jurnal Transportasi, Logistik, dan Aviasi, 1(1), 55–69. https://doi.org/10.52909/jtla.v1i1.37
  3. Alamsyah, D. P., & Muhammed, H. A. A. (2018). Antecedents of green awareness for eco-friendly products. ASEAN Marketing Journal, 10(2), 109–126. https://doi.org/10.21002/amj.v10i2.8425
  4. Al-Haddad, L., & Whittington, M. (2019). The impact of corporate governance mechanisms on real and accrual earnings management practices: Evidence from jordan. Corporate Governance: The International Journal of Business in Society, 19(6), 1167–1186. https://doi.org/10.1108/CG-05-2018-0183
  5. Anggraini, D. (2021a). The impact of covid-19 on stock price changes. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(1), 1–18. https://doi.org/10.52909/jbemk.v1i1.22
  6. Anggraini, D. (2021b). The impact of covid-19 on stock price changes. Jurnal Bisnis, Ekonomi, Manajemen, Dan Kewirausahaan, 1(1), 1–18. https://doi.org/10.52909/jbemk.v1i1.22
  7. Aprillita, D., & Perkasa, D. H. (2021). The impact of the covid-19 pandemic on consumer purchasing power in the online retail sectors. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(1), 19–26. https://doi.org/10.52909/jbemk.v1i1.23
  8. Ayuningtyas, B., & Ilman, S. (2021). Ip camera surveillance system using an android application based on arduino. Jurnal Teknika Dan Informatika, 1(1), 1–18. https://doi.org/10.52909/jti.v1i1.6
  9. Berlian Rms, A., & Wahyuningsih, E. (2021). Analysis of frictional energy generation between train wheels and rails. Jurnal Teknika Dan Informatika, 1(1), 46–61. https://doi.org/10.52909/jti.v1i1.10
  10. Chao, Y. S. (2018). Risk management and diversification strategy to evaluate mne systematic risk in emerging economy. Romanian Journal of Economic Forecasting, 21(3), 131–152.
  11. Chatzitheodorou, K., Skouloudis, A., Evangelinos, K., & Nikolaou, I. (2019). Exploring socially responsible investment perspectives: A literature mapping and an investor classification. Sustainable Production and Consumption, 19, 117–129. https://doi.org/10.1016/j.spc.2019.03.006
  12. Cunha, F. A. F. D. S., Meira, E., & Orsato, R. J. (2021). Sustainable finance and investment: Review and research agenda. Business Strategy and the Environment, 30(8), 3821–3838. https://doi.org/10.1002/bse.2842
  13. Falcone, P. M. (2020). Environmental regulation and green investments: The role of green finance. International Journal of Green Economics, 14(2), 159–173. https://doi.org/10.1504/IJGE.2020.109735
  14. Fathihani, F. (2021). Empirical analysis of factors influencing stock prices of lq 45-listed companies (2016-2018). Jurnal Bisnis, Ekonomi, Manajemen, Dan Kewirausahaan, 1(2), 71–82. https://doi.org/10.52909/jbemk.v1i1.30
  15. Fathihani, F., & Nasution, I. H. (2021). The influence of capital structure, company growth, profitability, and firm size on earnings management. Jurnal Bisnis, Ekonomi, Manajemen, Dan Kewirausahaan, 1(2), 59–70. https://doi.org/10.52909/jbemk.v1i1.29
  16. Folqué, M., Escrig-Olmedo, E., & Corzo Santamaría, T. (2021). Sustainable development and financial system: Integrating esg risks through sustainable investment strategies in a climate change context. Sustainable Development, 29(5), 876–890. https://doi.org/10.1002/sd.2181
  17. Gómez-Bezares, F., Przychodzen, W., & Przychodzen, J. (2017). Bridging the gap: How sustainable development can help companies create shareholder value and improve financial performance. Business Ethics, 26(1), 1–17. https://doi.org/10.1111/beer.12135
  18. Halim, A. (2015). Manajemen keuangan bisnis: Konsep dan aplikasinya. Mitra Wacana Media.
  19. Han, H. (2021). Consumer behavior and environmental sustainability in tourism and hospitality: A review of theories, concepts, and latest research. Journal of Sustainable Tourism, 29(7), 1021–1042. https://doi.org/10.1080/09669582.2021.1903019
  20. Hanif, A., Hanun, N. R., & Febriansah, R. E. (2021). Optimization of stock portfolio using the Markowitz model in the era of the COVID-19 pandemic. TIJAB (The International Journal of Applied Business), 5(1), 37–50. https://doi.org/10.20473/tijab.v5.i1.2021.37-50
  21. Heriyanto, D. (2021). The impact of service quality and compensation on crew satisfaction in manning companies. Jurnal Transportasi, Logistik, dan Aviasi, 1(1), 31–41. https://doi.org/10.52909/jtla.v1i1.35
  22. Husnan, S. (2001). Dasar-dasar teori portofolio dan analisis sekuritas (3rd ed.). UPP AMP YKPN.
  23. Ikhsani, K., Widayati, C. C., & Wuryandari, N. E. R. (2021). Effect of risk perception, promotion, and brand trust on purchase intention post-COVID-19 era. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(2), 83–93. https://doi.org/10.52909/jbemk.v1i1.31
  24. Kaczmarek, K., Dymova, L., & Sevastjanov, P. (2020). A simple view on the interval and fuzzy portfolio selection problems. Entropy, 22(9), 932. https://doi.org/10.3390/e22090932
  25. Keke, Y., Tobing, N. G. L., & Tanjung, I. (2021). The effect of occupational safety and health on employee performance at PT Angkasa Kargo. Jurnal Transportasi, Logistik, dan Aviasi, 1(1), 42–54. https://doi.org/10.52909/jtla.v1i1.36
  26. Koumou, G. B. (2020). Diversification and portfolio theory: A review. Financial Markets and Portfolio Management, 34(3), 267–312. https://doi.org/10.1007/s11408-020-00352-6
  27. Kuncoro, H., & Harahap, V. (2021). Effect of electronic flight bag usage and safety culture on flight safety performance at PT Garuda Indonesia. Jurnal Transportasi, Logistik, dan Aviasi, 1(1), 18–30. https://doi.org/10.52909/jtla.v1i1.34
  28. Leković, M. (2018). Investment diversification as strategy for reducing investment risk. Ekonomski Horizonti, 20(2), 173–187. https://doi.org/10.5937/ekonhor1802173l
  29. Liu, C., & Wang, S. (2021). Investment, idiosyncratic risk, and growth options. Journal of Empirical Finance, 61, 118–138. https://doi.org/10.1016/j.jempfin.2021.01.004
  30. Luong, L. P., & Ha, D. T. T. (2011). Behavioral factors influencing individual investors’ decision-making and performance (A survey at the Ho Chi Minh Stock Exchange).
  31. Page, S., & Panariello, R. A. (2018). When diversification fails. Financial Analysts Journal, 74(3), 19–32. https://doi.org/10.2469/faj.v74.n3.3
  32. Pangkong, B. M., Pangemanan, S. S., & Pandowo, M. H. C. (2020). Analysis of consumer awareness of environmentally friendly products in Manado. Jurnal EMBA, 8(2), 19–28.
  33. Parmenas, N. H. (2021). Strategies for maintaining employee well-being during the COVID-19 pandemic. Journal of Economics, Management, Entrepreneurship, & Business, 1(1), 15–31. https://doi.org/10.52909/jemeb.v1i1.3
  34. Pistorius, T. (2017). The history of investment theory. In Heterodox investment theory: Stochastic predictability and uncertainty (pp. 27–84). Springer International Publishing.
  35. Prijono, B., Kusnadi, K., Arafah, W., & Lukman, B. (2021). Effect of strategic planning, budgeting, and resource-based view on performance mediated by organizational commitment in TNI units. Journal of Economics, Management, Entrepreneurship, & Business, 1(2), 76–95. https://doi.org/10.52909/jemeb.v1i2.54
  36. Ricardianto, P., Sakti, R. F. J., Sembiring, H. F. A., & Abidin, Z. (2021). Safety performance analysis of state and commercial ships in accordance with SOLAS 1974. Journal of Economics, Management, Entrepreneurship, & Business, 1(1), 1–14. https://doi.org/10.52909/jemeb.v1i1.2
  37. Sakinah, N. A. (2021). The effect of transformational leadership on turnover intention through job satisfaction and organizational commitment. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(2), 94–107. https://doi.org/10.52909/jbemk.v1i1.32
  38. Santos, R. C. D., Orso, L. É., Machado, M. C. R., & Sousa, A. M. R. (2019). Foreign investors? The effects of the property structure and legal system as mechanisms of corporate governance in Brazilian regulated companies. Corporate Governance: The International Journal of Business in Society, 19(5), 1082–1116. https://doi.org/10.1108/CG-02-2019-0072
  39. Saputra, T. D., & Kusnadi, K. (2021). Effect of strategic human resources competency and logistic management on performance mediated by strategic leadership. Journal of Economics, Management, Entrepreneurship, & Business, 1(2), 96–117. https://doi.org/10.52909/jemeb.v1i2.55
  40. Satria, B. (2021). The effect of transformational leadership and work motivation on employee performance at PT XYZ. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(1), 36–47. https://doi.org/10.52909/jbemk.v1i1.25
  41. Schoenmaker, D., & Schramade, W. (2019). Investing for long-term value creation. Journal of Sustainable Finance & Investment, 9(4), 356–377. https://doi.org/10.1080/20430795.2019.1625012
  42. Sciarelli, M., Cosimato, S., Landi, G., & Iandolo, F. (2021). Socially responsible investment strategies for the transition towards sustainable development: The importance of integrating and communicating ESG. The TQM Journal, 33(7), 39–56. https://doi.org/10.1108/TQM-08-2020-0180
  43. Setyawati, A., & Aristiyanto, F. K. (2021). Improving discipline through apron movement control (AMC) at PT Angkasa Pura I Adi Soemarmo Airport. Jurnal Transportasi, Logistik, dan Aviasi, 1(1), 1–17. https://doi.org/10.52909/jtla.v1i1.33
  44. Setyawati, A., Huda, M. N., Suripno, S., & Tannady, H. (2021). Analysis of integrated bus terminal services and their impact on customer satisfaction at Pulo Gebang. Journal of Economics, Management, Entrepreneurship, & Business, 1(1), 44–55. https://doi.org/10.52909/jemeb.v1i1.5
  45. Shabbir, M. S., & Wisdom, O. (2020). The relationship between corporate social responsibility, environmental investments and financial performance: Evidence from manufacturing companies. Environmental Science and Pollution Research, 27(32), 39946–39957. https://doi.org/10.1007/s11356-020-10217-0
  46. Solihin, A. (2021). The effect of workload, compensation, and career development on employee loyalty at PT ABC. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(1), 48–58. https://doi.org/10.52909/jbemk.v1i1.26
  47. Sulastri, Adam, M., Isnurhadi, & Muthia, F. (2016). Diversification strategy and risk reduction. International Journal of Applied Business and Economic Research, 14(13), 8931–8952.
  48. Sumaryadi, S., & Kusnadi, K. (2021). Influence of strategic planning and competence on performance mediated by compliance management in TNI service. Journal of Economics, Management, Entrepreneurship, & Business, 1(2), 135–147. https://doi.org/10.52909/jemeb.v1i2.56
  49. Susanto, P. C., & Parmenas, N. H. (2021). Development of a succession planning model for insurance subsidiaries. Journal of Economics, Management, Entrepreneurship, & Business, 1(1), 56–75. https://doi.org/10.52909/jemeb.v1i1.16
  50. Susanto, P. C., Suryawan, R. F., Hartono, H., & Purwoko, B. A. (2021). Analysis of accident-prone areas along the Ciawi–Puncak road, Bogor. Journal of Economics, Management, Entrepreneurship, & Business, 1(1), 32–43. https://doi.org/10.52909/jemeb.v1i1.4
  51. Suyanto, S., Kusnadi, K., & Arafah, W. (2021). Effect of MIS and knowledge management on MSME performance mediated by organizational commitment in Majalengka. Journal of Economics, Management, Entrepreneurship, & Business, 1(2), 118–134. https://doi.org/10.52909/jemeb.v1i2.57
  52. Syahrial, E., & Sudono, R. H. (2021). Cooling load analysis of a new building at PMI Bogor Hospital using the CLTD method. Jurnal Teknika dan Informatika, 1(1), 34–45. https://doi.org/10.52909/jti.v1i1.9
  53. Targanski, K. P. T., & Murhadi, W. R. (2021). Sustainable and responsible investment in Indonesia and Malaysia: An event study on SRI-KEHATI and FTSE4GBM indices. Jurnal Siasat Bisnis, 25(1), 69–78. https://doi.org/10.20885/jsb.vol25.iss1.art6
  54. Wahyuningsih, E., Widodo, S., & Rahmanto, R. (2021). Prototype manufacture of the Arjuno Autobost COVID-19 robot. Jurnal Teknika dan Informatika, 1(1), 19–33. https://doi.org/10.52909/jti.v1i1.8
  55. Wardhani, P. I., & Ully, L. R. R. (2021). The effect of competence and staff placement on performance with job satisfaction as a mediating variable. Jurnal Bisnis, Ekonomi, Manajemen, dan Kewirausahaan, 1(2), 108–119. https://doi.org/10.52909/jbemk.v4i2.187
  56. Zaimovic, A., Omanovic, A., & Arnaut-Berilo, A. (2021). How many stocks are sufficient for equity portfolio diversification? A review of the literature. Journal of Risk and Financial Management, 14(11), 551. https://doi.org/10.3390/jrfm14110551
  57. Zhang, Y., Li, X., & Guo, S. (2018). Portfolio selection problems with Markowitz’s mean–variance framework: A review of literature. Fuzzy Optimization and Decision Making, 17(2), 125–158. https://doi.org/10.1007/s10700-017-9266-z
  58. Zulkafli, A. H., Ahmad, Z., & Eky Ermal, M. (2017). The performance of socially responsible investments in Indonesia: A study of the SRI KEHATI Index (SKI). Gadjah Mada International Journal of Business, 19(1), 59–76. https://doi.org/10.22146/gamaijb.17959

How to Cite

Hakim, M. M. ., Nurhayati, N., & Setiawan , J. (2022). Optimizing Green Investment Portfolios Using the Markowitz Model for Sustainable Financial and Social Returns. Jurnal Bisnis, Ekonomi, Manajemen, Dan Kewirausahaan , 2(1), 24-41. https://doi.org/10.52909/jbemk.v4i2.184
Downloads
View PDF PDF · Open Access
Statistics
Issue
Vol. 2 No. 1 (2022): Mei
Articles

Similar Articles

11-17 of 17

You may also start an advanced similarity search for this article.