ANALISIS PENENTUAN PORTOFOLIO OPTIMAL PADA SAHAM PERBANKAN DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL

Nurhayati, Nurhayati (2008) ANALISIS PENENTUAN PORTOFOLIO OPTIMAL PADA SAHAM PERBANKAN DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL. Other thesis, University of Muhammadiyah Malang.

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Abstract

This Research discusses about the determination of the optimal portfolio at banking shares which listing in Indonesian Stock Exchange during period of January 2005 till December 2007. The aim of this research is determining the optimal portfolio as implement to know how big the risk and the expected return from banking shares and to know how big banking shares fund proportion which enter in optimal portfolio later. This research use single index model analyzer by using program aid of TSP. Determination of optimal portfolio can be done by comparing ERB (Excess Return to Beta) value with Ci (Cut-off rate) value. Result of this research can be concluded that 23 banking share becoming research sample there are 5 competent shares enter in optimal portfolio because owning ERB value larger than Ci value and fund proportion larger than from zero. Competent shares enter in optimal portfolio there are Bank share of Kesawan (BKSW), Bank share of Mayapada (MAYA), Bank share of Artha Niaga Kencana Buana (ANKB), Bank share of Victoria (BVIC), Bank share of Swadesi (BSWD). With each banking share fund proportion that is 0.62570506 or 63%, 0.13578531 or 14%, 0.05199757 or 1%, 0.13509156 or 14%, and 0.07665259 or 8%. Besides, expected return storey of the investment portfolio 5 banking share is 0.03104747 or 3.10% with risk storey of portfolio obtained is 0.0881818309 or 8.82%. Based on this analysis which have been done can be concluded that all investor can inculcate its capital at one particular share by determining optimal portfolio use single index model. Which this model can be used to determine optimal banking shares portfolio, so that all investor can take decision with various choice at banking shares.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economic > Department of Economics and Development Studies
Depositing User: Anggit Aldila
Date Deposited: 24 May 2012 03:36
Last Modified: 24 May 2012 03:36
URI: http://eprints.umm.ac.id/id/eprint/5818

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