ANALISIS PENERAPAN MODEL MULTI FAKTOR UNTUK MEMBENTUK PORTOFOLIO OPTIMAL(Studi pada Saham Jakarta Islamic Index yang Tercatat di Bursa Efek Jakarta)

ULFASARI, NURIA (2007) ANALISIS PENERAPAN MODEL MULTI FAKTOR UNTUK MEMBENTUK PORTOFOLIO OPTIMAL(Studi pada Saham Jakarta Islamic Index yang Tercatat di Bursa Efek Jakarta). Other thesis, University of Muhammadiyah Malang.

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Abstract

This study is causal, entitled "Analysis of Implementation of Multi-Factor Model For Establishing Optimal Portfolio (Studies in Jakarta Islamic Index Shares listed on the Jakarta Stock Exchange)." This study aims to analyze stocks and some proportion anything that can form the optimal portfolio as well as separately to know the level of risk and return optimal portfolios using multi-factor models in stock JII during the study period. The research population is all stock is incorporated in the JII period January 2005 - December 2006. Motode The samples in this study is the technique of sample saturated or use within the data is complete census in which all members of the population used as a sample. Sample in this study was 29 at the JII company incorporated the period of July 2006 - December 2006. The result using multi-factor model states that the shares that form an optimal portfolio based on multi-factor model is the only PT. Bakrie Sumatera Plantation Tbk. (UNSP), which has a portfolio of funds in the formation of 100%. Formed expected return of the portfolio amounted to 72.41441 with a variant of the standard deviation of 72 389 5240.2132.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economic > Department of Accounting
Depositing User: Rayi Tegar Pamungkas
Date Deposited: 19 Jun 2012 03:19
Last Modified: 19 Jun 2012 03:19
URI: http://eprints.umm.ac.id/id/eprint/8467

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