PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL
ABSTRACT: Nowadays stock
investment became popular among investors and the public. Stocks are
investments that have high risks. Portfolio can reduce the risk. The purpose of
this study is to build an optimal portfolio using Single Index Model. This
study uses LQ 45 period August 2015-January 2016 as the population. Samples
were selected using census method. The analysis technique used in this study is
portfolio analysis using Single Index Model. The results of this study show
from 45 stocks, there are 9 shares eligible to enter the optimal portfolio
include: CPIN with the proportion 12:45%, INDF with the proportion of 7.7%,
HMSP with the proportion of 12.63%, GGRM with the proportion of 20.8%, PTPP
with the proportion of 17.99%, SMGR with the proportion 14.98 %, with the
proportion 7:16 AKRA%, TELKOM with the proportion of 3.66%, 2.63% BBTN
proportions. This gives the portfolio expected return 4.87%, with a 0.01% risk
level.
KEYWORDS: LQ 45; Single Index
Model; Optimal Portfolio
PENULIS: Reza Rizky Margana, Luh
Gede Sri Artini
Kode Jurnal: jpmanajemendd170048
