Analisis Pembentukan Portofolio Optimal Dalam Meminalkan Tingkat Risiko Investasi Dengan Menggunakan Model Indeks Tunggal (Studi Kasus Saham Lq-45 Di Bursa Efek Indonesia Periode Januari 2013-juli 2015)

Qur’Anitasari Qur’Anitasari • Raden Rustam Hidayat • Sri Sulasmiyati
Journal article Jurnal Administrasi Bisnis S1 Universitas Brawijaya • February 2016 Indonesia

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(Bahasa Indonesia, 10 pages)

Abstract

This research aims to find stocks that meet the criteria for establish of the optimal portofolio based Single Index Model. The method used in this research is descriptive research with quantitative approach. The population used is LQ-45 stocks index period January 2013-July 2015 and samples selected are 29 stocks. The results showed from 29 samples selected, the candidate of optimum portofolio is UNVR, BBRI, ICBP, KLBF, INDF in 2013, PTBA, BBCA, ICBP, KLBF, BBNI, GGRM, TLKM, PGN, JSMR, BBRI, INTP in 2014 and AKRA, UNVR, LPKR in January-July 2015. The proportion of funds forming optimum portofolio in 2013 are UNVR (47.56%), BBRI (10.62%), ICBP (24.78%), KLBF (10.70%), INDF (6.34%), in 2014 are PTBA (4.48%), BBCA (11.53%), ICBP (4.46%), KLBF (15.87%) , BBNI (23.50%), GGRM (6.51%), TLKM (5.22%), PGN (18.42%), JSMR (4.78%), BBRI (4.37%), INTP (0.51%), and from January to July 2015 are AKRA (5.98%), UNVR (84.92%) and LPKR (9.10%). The expected return of the optimum portofolio as much as 2.19% in 2013, 3.3124% in 2014 and 3.3208% in January-July 2015. The risk of the optimum portofolio as much as 0.1436% in 2013, 0.0163% in 2014 and 0.0542% in January-July 2015.

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