"MODEL INDEKS TUNGGAL SEBAGAI ALAT PEMBENTUKAN PORTOFOLIO OPTIMAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI (Studi Pada Perusahaan Yang Termasuk Indeks LQ-45)“.

TRIHARDIKA, EGI (2009) "MODEL INDEKS TUNGGAL SEBAGAI ALAT PEMBENTUKAN PORTOFOLIO OPTIMAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI (Studi Pada Perusahaan Yang Termasuk Indeks LQ-45)“. Other thesis, University of Muhammadiyah Malang.

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Abstract

ABSTRACT This research is a case study in LQ 45 stocks listed on the Indonesia Stock Exchange (IDX) during the period August 1, 2008 until January 31, 2009 with the title "Single Index Model of Optimal Portfolio Formation as a Tool for Investment Decision Making (Studies in Companies Includes LQ-45) ". The purpose of this study was to determine which stocks are included in the optimal portfolio of stocks that have been studied during the period August 1, 2008 until January 31, 2009, in particular stock included in the LQ45 index, as well as to determine the proportion of funds invested, so that benefits and risks can be known. This study used 25 stocks included in the -45 LQ as a sample. The analytical tool used in this research is the single index model, in order to determine which stocks are included in the optimal portfolio. This model uses formulas, including formula Ri is the return of individual shares of each month, Rm is the market return, E (Ri) is the average rate of return on individual stocks, Rf is risk-free return, ie βi beta stocks, namely the difference Erb between the level of return that is expected with a risk-free return, C * is the cut off point, Wi is the proportion of each stock fund optimal portfolio, E (Rp) is the optimal stock portfolio return expectations, and βp is the optimal stock portfolio risk. From the calculation using the single index model, optimal portfolio combination is not obtained because of the price of the shares owned by 25 companies decreased. Meanwhile, stocks that enter as a candidate optimal portfolio should have relatively stable prices, increased prices, a positive beta value, having a value of positive Erb and Erb value must be greater than the cut of point (C *). The authors suggested that investors should choose stocks that are located in the most optimal set of portfolios, because the portfolio will provide maximum returns at minimum risk level. However, because this study did not find the combination of the optimal portfolio, it is recommended to investors to choose other alternatives to current funding. For example, invest the funds to the real sectors such as SMEs and so forth. As for further research, the authors suggest to increase the number of samples as well as include other factors that affect the analysis.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economic > Department of Accounting
Depositing User: Anggit Aldila
Date Deposited: 05 Jul 2012 02:49
Last Modified: 05 Jul 2012 02:49
URI: http://eprints.umm.ac.id/id/eprint/11059

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