Investors diversity thir portfolio by combining of two or more assets to minimize the risk from their investment. The problem arises is how to build an optimum portfolio various assets, as well as the name of stocks and portfolio weights. Therefore the investors will choose portfolio combination that suits with investor preference toward return and risk. This thesis aims to build an optimum portfolio and to determine portfolio risk and return using Markowitz model. The research is applied to 15 stocks which categorized as LQ45 index listed in Jakarta Stock Exchange for period January 2001 until December 2005.
Result of the research is construction of optimum portfolio based on three scenarios. First, the result of optimum portfolio for more riks averse investor consist of six stocks (TLKM 46.339%, BBCA 27.180%, ANTM 9.829%, AALI 8.771%, INTP 4.327%, KLBF 3.554%) and optimum portfolio for less risk averse investor consists of our stocks (UNTR 45.684%, ANTM 42.655%, KBLF 9.409%, AALI 2.252%). Second, by combining risky asset and riksfree assets will consist of six stocks (TKLM 36.903%, ANTM 22.118%, BBCA 17.899%, KBLF 8.949%, AALI 7.223% dan UNTR 6.907%). The result of Markowitz portfolios then utilize to determine portfolio risk and return to help investor making investment decision. |