ANALISA OPTIMASI PORTOFOLIO YANG MEMUAT SAHAM-SAHAM KELOMPOK LQ45
ABSTRACT: Abstract. Portfolio
optimization is the process of choosing the proportions of various assets to be
held in a portfolio in such way as to make the portfolio better than any other
according to some criteria, e.g. minimize the risk and/or maximize the return.
In this article, we will determine the proportions of each stock that optimizes
the portfolio consisting of stocks in LQ45 index. We analyse the riskiest
sector in LQ45 index, as well. LQ45 index was launched in February 1997. This
index using 45 selected stocks with criteria specified by Indonesia Stock
Exchange, among which are liquidity and market capitalization. The optimum
criteria used in the portfolio are to minimize the risk with and without a
particular return target. For both these criteria, short-selling is not
allowed. We use Newton method to determine proportions that optimize the
portfolio. We find that a portfolio that contains stocks from agriculture
sector is the riskiest sector in LQ45 index whereas a portfolio that contains
stocks from property sector gives the highest return.
Penulis: Liem Chin, Erwinna
Chendra, Agus Sukmana
Kode Jurnal: jptindustridd150315
