Analisis optimasi portofolio saham dengan menggunakan model indeks tunggal

  • Irma Christiana Universitas Muhammadiyah Sumatera Utara
  • Novi Fadhila Program Studi Manajemen, Universitas Muhammadiyah Sumatera Utara

Abstract


  • Purposes  - This study aims to determine stocks to form an optimal portfolio of banking companies’ stocks incorporated in the LQ-45 index on the Indonesia Stock Exchange and the percentage of proportion of funds using a single index model. 

  • Methods   - Sampling technique of this research was using purposive sampling method, so that got 5 banking company which becomes a sample of research. Technique of collecting data of this research uses documentation with secondary data. The data analysis method used in this research is the single index model. 

  • Findings  - The result of the research concludes that the companies that become the sample of research enter into optimal portfolio and the amount of fund proportion as follows: Shares of PT. Bank Tabungan Negara (BBTN) of 29,62%, PT. Bank Central Asia (BBCA) of 24,74 %, PT. Bank Rakyat Indonesia (BBRI) of 11,37%, PT. Bank Mandiri (BMRI) of 27,33% and PT. Bank Negara Indonesia (BBNI) of 6,94%. The portfolio of five stocks provides a portfolio return of 5,97362% and portfolio risk of 0,0218% for each share. The portfolio return is greater than the previously anticipated return of 2,495%. 

  • Keywords  - Optimization, stock portfolio, single index model    

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Published
2018-08-31
How to Cite
CHRISTIANA, Irma; FADHILA, Novi. Analisis optimasi portofolio saham dengan menggunakan model indeks tunggal. Jurnal Riset Finansial Bisnis, [S.l.], v. 2, n. 2, p. 51-60, aug. 2018. ISSN 2597-3991. Available at: <https://ejurnal.id/index.php/jrfb/article/view/177>. Date accessed: 23 sep. 2021.
Section
Articles