Analisis Perbedaan Tingkat Expected Return Dan Risiko Saham Individu Dalam Portfolio Optimal Melalui Diversifikasi Jangka Waktu Kepemilikan (Studi Kasus Pada 20 Most Active Stock By Trading Value Di BEI Periode 2006 - 2009)

Putriana, Ira Dwi (2011) Analisis Perbedaan Tingkat Expected Return Dan Risiko Saham Individu Dalam Portfolio Optimal Melalui Diversifikasi Jangka Waktu Kepemilikan (Studi Kasus Pada 20 Most Active Stock By Trading Value Di BEI Periode 2006 - 2009). S1 thesis, STIE Indonesia Banking School.

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Abstract

One of the investors strategies to minimize investment stock risk in especially rate of expected return is construct an optimal portfolio in any kinds of diversivication, such as diversification across securities and diversification across time. Object of this research is the 20 most active stock by trading value in Indonesia Stock Exchange during period 2006-2009. In this research, indirectly writer has done diversification across securities with constructing an optimal portfolio with single index model and calculation excess return to beta (ERB). While diversification across time by doing withdivided rate of risk and expected return from stocksin optimal portfolio into holding period 1 week, 4 week and 12 week, than doing annualized and timed with weighting of each holding period in optimal portfolio. According to the theory, this research shows that diversification across time is effective in minimizing rate of unsystematic risk and maximizing expected return individu stocks in portfolio but not significantly. While rate of total risk doesn’t effect because influenced by rate of systematic risk which can’t diversificated Keyword: diversification, expected return, risk, stock, optimal portfolio

Item Type: Thesis (S1)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: KODEPRODI61201#Manajemen
Depositing User: Mrs. Deli Apsa
Date Deposited: 09 Oct 2020 03:54
Last Modified: 09 Oct 2020 03:54
URI: http://repository.ibs.ac.id/id/eprint/1517

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