Portofolio dengan Menggunakan Model Indeks Tunggal dan Metode Z
Abstract: This study aimed to
establish the optimal portfolio using a single index model approach and Z
methods. This study used a sample of companies included in the LQ-45 period
February 2009-January 2013. The results showed that the portfolio returns by
using a single index models and Z methods did not give different results.
The use of a single index model can provide a smaller risk than the use
of Z method. The use of a single index model produces 11 stocks included in the
portfolio, while the Z method produces 6 stocks included in the portfolio. The
results indicated Z method is more suitable to investors who have limited funds
and limited time.
Penulis: Werner R. Murhadi
Kode Jurnal: jpmanajemendd130747
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