ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMALPADA KOMPAS 100

Ratih Dian, Novaningtyas (2009) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMALPADA KOMPAS 100. Other thesis, University of Muhammadiyah Malang.

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Abstract

This research represent research of survey at stock of Kompas 100 which noted in Indonesian Stock Exchange during period of Februari 2009 - July 2009 with Title \" Analisis Pembentukan Portofolio Optimal Pada Kompas 100” The aims of this research is to determine to the number of fund proportion and share which forming optimal portfolio at Kompas100 share and to determine risk and return optimal portfolio at Kompas 100 share is formed during research period Population in this research is share which in Kompas 100 index amounting to 100 security in each every periods. Method used of sample in this research that is ERB>Ci. Criteria in this research is stock which included in Kompas 100 index. Analyzer used a Single Index Models, where the model assume that security of return have correlation because of reaction of change of market value. Single Index Models can be used to determine of risk and return a share. To lessen the existence of risk, the investor can form optimal portfolio a combination of shares giving maximal return with certain risk. Calculation to determine optimal portfolio is relied on a number able to determine do a security can be included into optimal portfolio. Optimal Portfolio contain asset - asset having value of ERB high. Asset - asset with value of ERB low will not be included into optimal portfolio. The Results of calculation show there are 29 stock which included in optimal portfolio is assets having bigger ERB or equal to value of ERB of Ci* is KIJA, ANTM, LTLS, ELSA, FREN, BUDI, TMAS, AALI, BBKP, INDF, AISA, TOTL, MPPA, JPRS, PWON, BYAN, MASA, AKRA, CPIN, IIKP, BKDP, BKSL, TRST, GJTL, MDLN, APOL, TRAM, GPRA, PANR. Proporsi dana KIJA is 2.36%, ANTM is 0.501%, LTLS is 2.92%, ELSA is 2.87%, FREN is 3.84%, BUDI is 4.89%, TMAS is 2.66%, AALI is 1.163%, BBKP is 3.91%, INDF is 4.32%, AISA is 20.35%, TOTL is 2.32%, MPPA is 4.39%, JPRS is 2.028%, PWON is 1.421%, BYAN is 0.51%, MASA is 5.49%, AKRA is 2.60%, CPIN is 3.52%, IIKP is 8.09%, BKDP is 2.67%, BKSL is 1.112%, TRST is 3.84%, GJTL is 3.085%, MDLN is 1.64%, APOL is 1.64%, TRAM is 1.015%, GPRA is 2.55%, PANR is 2.55%. Return portfolio is 0.01197 and portfolio risk is 0.0000568.

Item Type: Thesis (Other)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Economic > Department of Management
Depositing User: Anggit Aldila
Date Deposited: 29 Jun 2012 03:16
Last Modified: 29 Jun 2012 03:16
URI: http://eprints.umm.ac.id/id/eprint/10210

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