This research aims to explore for portfolio
construction using Roy Criterion. Data was used monthly data of Kompas 100
Indec for period of 2015 to 2022. The result found that 66 stocks for using
equal and market capitalization, 22 stocks using Elton Gruber Method. The
research's findings are as follows Roy criterion could be used to construct
portfolio with determining achievement of minimum return. Portfolio return
using Roy criterion is vary from 0.631% to 0.638% per month. The market
capitalization weighted Portfolio return is highest then equal weighted
portfolio return. Elton Gruber method also used to construct portfolio, then
this method has highest return compared to others methods. The Market shock
affected all portfolio return and Interest rate has affected portfolio return
for equal weighted and Elton Gruber Method.
JEL classification numbers: C13, C51, C61, G1, M21.
construction, Return portfolio, Risk portfolio, Skewness and quadratic
programming, Market capitalization.