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PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL PADA INDEKS BISNIS 27

Ariyanti, Novita (2018) PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL PADA INDEKS BISNIS 27. Bachelors Degree (S1) thesis, University of Muhammadiyah Malang.

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Abstract

This study aimed to create the optimal portfolio of stocks listed in the Business 27 index. Optimal portfolio consists of stocks that can generate the maximum return value to the same risks or generate the same return value with the most minimal risk. This study focused on the stocks listed in Indonesia Stock Exchange. The optimal portfolio comprised stocks that listed in the Business 27 index in the period of May 2016 – April 2017. This study used single index model. This is a descriptive and quantitative study. There were 14 out of 23 stocks were selected through purposive sampling. The data used were secondary data. The findings showed that out of the 14 stocks, there were three which were formed in the optimal portfolio namely ADRO, PTBA and UNTR. The proporation of each fund of the stocks establishing portfolio was ADRO (38.86%), PTBA (22.01%) and UNTR (39.19%). Based on the portfolio established, the portfolio risk level was approximately 9.71% and the portfolio return expectations was approximately 17.99%.

Item Type: Thesis (Bachelors Degree (S1))
Student ID: 201410160311461
Keywords: Optimal Portfolio, Business 27 Index, Single Index Model, Risk and Return Expectation
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: Faculty of Economics > Department of Management (61201)
Depositing User: Retno Widiyastuti Ika Wijaya
Date Deposited: 09 Nov 2018 10:08
Last Modified: 09 Nov 2018 10:08
URI : http://eprints.umm.ac.id/id/eprint/39773

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