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PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM ANGGOTA INDEKS KOMPAS 100 YANG TERCATAT DI BURSA EFEK INDONESIA

Nur Islamia, Iis (2015) PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM ANGGOTA INDEKS KOMPAS 100 YANG TERCATAT DI BURSA EFEK INDONESIA. Other thesis, University of Muhammadiyah Malang.

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Abstract

In carrying out investment activities, an investor is faced with two things: the rate of return as well as the risks that may arise due to the uncertainty. Investing in the stock market of choice among investors, because it promises a higher return rate. But we need to remember that the greater the return, the level of risk will be greater. So investors minimize risk by diversifying their responsibilities, diversification can be realized by combining a variety of securities in the investment, in other words they form portfolios. This study aims to establish the optimal portfolio and help investors to analyze it to determine which stocks will provide a certain level of profit with the lowest risk or specific risk with the highest profit level. One of the optimal portfolio analysis techniques, is to use a single index model. Single Index Model is a model used to analyze the optimal portfolio that only see the effect of the Composite Stock Price Index (CSPI) on shares studied. This study uses a case study on the Compass 100 Stock Index recorded in Indodesia Stock Exchange (BEI). The population in this study are all Compass 100 stock index are listed in Indonesia Stock Exchange in the period August 2011-July 2014, which will form the optimal portfolio with a cut-off point or cut-off point (C *). These results indicate that the optimal portfolio formed the highest proportion of fund shares owned by ELSA (Elnusa) of 0.02496 or 2,496% and the lowest proportion of funds is BRMS (Resoureces Earth Minerals Tbk) of -0.00492 or 0492%. Large expected returns in the optimal portfolio E (USD) is 0.0672% while the risk in the optimal portfolio (σp2) is 0.976%.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Economics > Department of Management
Depositing User: Fitri Ramandhany
Date Deposited: 04 Mar 2016 07:47
Last Modified: 04 Mar 2016 07:47
URI : http://eprints.umm.ac.id/id/eprint/20462

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