Analisis Portofolio Optimal Pada Saham Syariah Perusahaan Sektor Industri Barang Konsumsi Menggunakan Model Indeks Tunggal Di Bursa Efek Indonesia Periode Desember 2016 – November 2017

Trisusilawati, Desi (2018) Analisis Portofolio Optimal Pada Saham Syariah Perusahaan Sektor Industri Barang Konsumsi Menggunakan Model Indeks Tunggal Di Bursa Efek Indonesia Periode Desember 2016 – November 2017. Other thesis, Universitas Islam Riau.

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Abstract

This study aims to find out and analyze the optimal portfolio by using a single index model on the sharia stock of the consumer goods industry sector on the Indonesia Stock Exchange. The period used in this study during December 2016 to November 2017. Data used in the study are individual stock prices per day for a year, the movement of the Composite Stock Price Index (IHSG) and interest rates on Bank Indonesia Certificates (SBI). Optimal portfolios can be formed if the portfolio has an excess return to beta value greater than or equal to the value, where the value is the limiting point (cut-off point) which has the last value greater or equal to the value of . The results of the study show that from 28 stocks of the consumer goods industry sector, 10 optimal shares were obtained. Then combined into 45 portfolio combinations consisting of 2 shares, where the portfolio is an optimal portfolio in each proportion chosen. So that the optimal portfolio obtained with the highest portfolio expectation return is PT Prasidha Aneka Niaga Tbk-PT Sekar Laut Tbk and an optimal portfolio with the smallest risk level is PT Siantar Top Tbk-PT Ultrajaya Milk Industry and Trading Company Tbk.

Item Type: Thesis (Other)
Uncontrolled Keywords: Optimal Portfolio, Single Index Model, Investment, Sharia Stocks.
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: > Manajemen
> Manajemen
Depositing User: Reza Zulkurniawan
Date Deposited: 14 Oct 2021 02:02
Last Modified: 14 Oct 2021 02:02
URI: http://repository.uir.ac.id/id/eprint/3188

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