Formation of Optimal Portfolio on JII Stock using Sharpe, Treynor, and Jensen Indices during the Period of 2018-2023

Investment is an activity carried out by investors placing their funds in asset. The purpose of investment to gain long-term profits the future. These come from changes price assets future, which refers increase value asset over time. Currently, there are several types investments. However, type that quite widely practiced Indonesian society stock investment. Indonesia Stock Exchange (IDX) groups stocks available market into indexes. One index currently receiving attention Jakarta Islamic Index (JII). JII a collection shares companies adhere sharia principles business operations. activities must be carefully conducting analysis beforehand so do not make mistakes choosing purchased. Several popular methods for selecting Sharpe, Treynor, and Jensen three indexes can used select best based on respective criteria. This study combine these prioritize formation portfolio. data this closing prices March 2018 February 2023. optimization resulted composition 69.17% MDKA shares, 26.55% HRUM 4.28% BRIS total portfolio composition.