Analisis Single Index Model Untuk Menentukan Komposisi Portofolio Optimal (Studi Pada Saham Yang Termasuk 50 Leading Companies in Market Capitalization Periode 2012-2015)

Nindi Shinta Wati • Topowijono Topowijono • Sri Sulasmiyati

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(Bahasa Indonesia, 10 pages)

Abstract

This study aims to determine 50 Leading Companies in Market Capitalization included optimal portfolio, the composition of stocks in optimal portfolio; and the expected return and risk of optimal portfolio. The type of research used in this research is descriptive research with quantitative approach . This study uses secondary data time series for the period 2012-2015. Data analysis method used is the analysis of stocks with single index model. The results showed 5 stocks of 31 samples including the optimal portfolio. The following stocks forming the optimal portfolio and its composition: AALI (1,15%), UNVR (5,36%), EMTK (41,00 %), HMSP (29,79 %), and ICBP (22,70 %). Portfolio that is formed will produce the expected return of a portfolio of 2,71 % and 0,14% of the portfolio risk.

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Jurnal Administrasi Bisnis S1 Universitas Brawijaya

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