PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL (Pada Saham Jakarta Islmic Index (JII) Yang Tercatat Di Bursa Efek Jakarta)

Yanti, Nur Ely (2007) PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL (Pada Saham Jakarta Islmic Index (JII) Yang Tercatat Di Bursa Efek Jakarta). Other thesis, University of Muhammadiyah Malang.

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Abstract

The formation of optimal portfolio by using single index model (for share of Jakarta Islamic index (JII) recorded in Jakarta stock exchange This is an applied research under title “Pembentukan Portofolio optimal Dengan model index tunggal (pada saham Jakarta Islamic index (JII) yang tercatat di bursa efek Jakarta.” The purpose of this research is to know which one of share in the optimal portfolio and how much the fund by single index model proportionally; and to know a risk and return level of formed optimal portfolio. The population of this research is the share of Jakarta Islamic Index (JII) recorded in Jakarta Stock Exchange (JSE) during January- December 2006. It consists of two periods where each of them has 30 emiten. The method of this research is single index model, so it is known that the first period, January- June 2006 found 13 shares included as a member of the optimal portfolio. The shares which are followed their fund are UNSP (Bakrie Sumatra Plantation Tbk) 9.70%, BLTA (Berlian Laju Tanker Tbk) 17.4%, AALI (Asrtra Agro Lestari Tbk) 30.30%, INDF (Indofood Sukses Makmur Tbk) 4.66 %, LISP (PP London Sumatra Tbk) 3.06%, PTBA (Tambang Batu Bara Bukit Asam Tbk) 2.10%, PLAS (Palm Asia Corpora Tbk) 27.24%, INCO (International Nikel Indonesia Tbk) 2.36%, UNTR (United Traktors Tbk) 1.61%, PGAS (Perusahaan Gas Negara Tbk) 1.12%, SMRA (Summarecon Agung Tbk) 0.22%, BNBR (Bakrie & Brothers Tbk) 0.17% KIJA (Kawasan Industri JababekaTbk) 0.04%, while the portfolio return level in which investor got is 9.15% and the portfolio risk level is 0.03%. In the second period, July – December 2006, the shares in the optimal portfolio are 9 namely, BUMI (Bumi Resources Tbk) 18.98 %, INTP (Indocemen Tunggal Prakasa Tbk) 33.49%, ISAT (Indosat Tbk) 16.58%, CITRA (Ciputra Development Tbk) 8.33%, ASII (Astra International Tbk) 6.05%, ADHI (Adhi Karya Tbk) 4.37%, KIJA (Kawasan Industri Jababeka Tbk) 3.75%, while, the portfolio return level which investor got is 6.08A% and the portfolio risk level is 0.1%.

Item Type: Thesis (Other)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Economic > Department of Management
Depositing User: Rayi Tegar Pamungkas
Date Deposited: 15 Jun 2012 07:15
Last Modified: 15 Jun 2012 07:15
URI: http://eprints.umm.ac.id/id/eprint/7995

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