Pembentukan Portofolio Optimal dengan Model Indeks Tunggal  

Oleh:

Sitanggang, Jati Pingkir ; Adi, R. Wahyu Pramono

Jenis: Article from Journal - ilmiah nasional
Dalam koleksi: Bina Widya: Majalah ilmiah UPN "Veteran" Jakarta vol. 17 no. 1 (Apr. 2006), page 26.
Topik: portofolio; model indeks tunggal; rasio ekses tingkat pengembalian dengan beta; titik pembatas terbesar; beta

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: BB24.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

The aim of this study is to find the risk of stock investment by portfolio diversification of 13 LQ-45 stocks. These stocks are traded, loquid and give the highest excpected return during the period of Januari 2nd, 2002 to June 30th, 2003\5 by using the technique of single index model, so that will be obtained the return as expected, The result of the analysis of the 13 candidate stocks using single index model shows that only half of those stocks are considered to be the optimum portfolio, those are UNTR, ASII, AALI, TINS, GITL, INTP and KLBF, with weach funds proportion of 26%, 22%, 18%, 13%, 12%, 8% and 1%, in the portfoilio return of 0.2202% which is higher than SBI daily return (0.029006%) and in the portfolio risk 0.0456% which is lower than PNBN stick risk, or it is higher than GGRM stock risk (0.000437 < T (2 P) < 0.002331.

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