Analisis Pembentukan Portofolio Optimum dengan Single Index Model atas Saham LQ 45 Periode 2006-2010

Harmayati, Almira (2012) Analisis Pembentukan Portofolio Optimum dengan Single Index Model atas Saham LQ 45 Periode 2006-2010. S1 thesis, STIE Indonesia Banking School.

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Abstract

Stock is the type of investmet with the high risk high return that is having the high risk but could produce the hight profit as well. Stock portofolio is a collection of shares that owned by an investor. Optimal stock portofolio will maximize the value of expected return and minimized the risk by combining some stocks with the right proportions. The method that used in this research is the Single Index Model. Single Index Model is a method in which an issuer’s stock return has a liniear relationship with the market return. The main purpose of this research is to investigate and anylize the portofolio expected return and risk optimal portofolios based on Single Index Model. The research results showed there were seventeen stocks with a cut-off point (C*) 0.024365. Optimal portfolio is formed by the seven stocks that have returned the excess beta (ERB) is greater than the cut-off point. Tambang Batubara Bukit Asam(PTBA),Astra Agro Lestari (AALI), United Tractors (UNTR), Perusahaan Gas Negara (PGAS), Indofood Sukses Makmur (INDF), Holcim Indonesia (SMCB), and Astra International (ASII) with excess return to beta (ERB) of 4.31%, 3 , 37%, 3.21%, 2.94%, 2.85%, 2.63% and 2.56%. The proportion of seven shares of the fund29.42%, for PTBA 15.93% for Aali, 16.74% for UNTR, 9.86% for PGAS, 9.71% for INDF, 7.29%. Keywords : Single Index Model, Optimal Portofolio.

Item Type: Thesis (S1)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: KODEPRODI61201#Manajemen
Depositing User: Ms Dyta Medina
Date Deposited: 23 Oct 2020 08:50
Last Modified: 23 Oct 2020 08:50
URI: http://repository.ibs.ac.id/id/eprint/1479

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