Analisis optimasi portofolio saham dengan menggunakan model indeks tunggal

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    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   &nbsp