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Abstract
Investing involves allocating funds in the present with the expectation of obtaining future returns. One common type of financial investment is stock investment. Diversifying investments across various companies enables investors to reduce the risks associated with individual stock performance. One approach used in constructing a stock portfolio is the Liquidity-Adjusted Capital Asset Pricing Model (LCAPM), a modification of the traditional CAPM that incorporates liquidity risk. The Sharpe Index is employed to evaluate the performance of the constructed portfolio. This study utilizes closing price data, trading volume, and total transaction volume of stocks listed in the Infobank15 Index, along with the Composite Stock Price Index (JCI) and the Bank Indonesia Certificate interest rate, covering the period from January 2020 to December 2023. The results indicate that the optimal portfolio consists of three stocks, with allocation proportions of 12.31% for BRIS, 75.88% for BBCA, and 11.81% for BBNI.
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References
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