Oktorina, Lia (2008) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL (Studi Pada Saham-Saham JII Periode 2007). Other thesis, University of Muhammadiyah Malang.
Download (148kB) | Preview
The research was application research titled “Analysis of Optimal Portfolio form by Single Index Model (Study at JII stocks 2007 period)”. The research aimed to find out the stocks combination and fund proportion which formed optimal portfolio. Population in this research was all stocks entering JII, consisted of 30 emittent in all period. Method used in this research was single index model. The optimal stock portfolio calculation by using single index model at JII January-June 2007 period resulted stocks formed optimal stock portfolio. They were: BTEL, BUMI, BNBR, ANTM, LPKR, CMNP, UNSP, PTBA, INCO with each proportion were 0,102286, 0,309681, 0,127703, 0,063092, 0,212617, 0,035213, 0,085302, 0,053463, 0,010643. Portfolio Return expectation was 5,441% and risk level was 0,0167511%. While in July – December 2007 period, resulted stock formed optimal stock portfolio. They were: LSIP, AALI, SMCB, INCO, BUMI, TINS, PGAS, ASII, PTBA by fund proportion 0,255257, 0,174142, 0,091807, 0,110507, 0,124214, 0,068960, 0,071676, 0,062596, 0,040841. Expected Return was 5,828% and risk was 0,0178956%. The destination and statement of problems were answered. According to above conclusion, the investor should took investment decision that they should choose stocks related in JII and include into optimal stock portfolio to maximize return with certain risk level.
|Item Type:||Thesis (Other)|
|Subjects:||H Social Sciences > HB Economic Theory|
|Divisions:||Faculty of Economic > Department of Management|
|Depositing User:||Anggit Aldila|
|Date Deposited:||24 May 2012 06:38|
|Last Modified:||24 May 2012 06:38|
Actions (login required)