Analisis Pembentukan Portofolio Optimal Menggunakan Model Indeks Tunggal Pada Saham Jakarta Islamic Index

Kurniawan, Sandi (2022) Analisis Pembentukan Portofolio Optimal Menggunakan Model Indeks Tunggal Pada Saham Jakarta Islamic Index. Other thesis, Universitas Islam Riau.

Text 185210245.pdf - Submitted Version Download (5MB)

Abstract

The purpose of this study is to determine the optimal portfolio composition using a single index model. Realistic investors will invest not only in one type of investment, but can diversify into various investments in the hope of minimizing risk and maximizing return. The single index model used in determining the optimal portfolio is done by comparing the excess return to beta (ERB) with the cut-off-rate (Ci). Investor rationality can be illustrated from the results of investors' decisions in choosing stocks from the optimal portfolio which tend to have high trading volumes compared to stocks that are not included in the optimal portfolio which tend to have low trading volumes. The sample selection was done by means of purposive sampling method. Selected 27 company shares to be used as research samples. The results of this study indicate, from 27 stocks there are 8 stocks that deserve to be included in the optimal portfolio including TLKM with a proportion of 0.247656 (24.7656%), AKRA with a proportion of 0.202664 (20.2664%), MDKA with a proportion of 0.174551 ( 17.4551%), EXCL with a proportion of 0.141353 (14.1353%), ANTM with a proportion of 0.092084 (9.2084%), ADRO with a proportion of 0.072454 (7.2454%), KLBF with a proportion of 0, 053662 (5.3662%), and UNTR with a proportion of 0.015578 (1.5578%). This portfolio provides an expected return of 3.9266%, with a risk level of 0.5221%.

Actions (login required)

View Item