Penggunaan Metode Single Index Model Dalam Menentukan Portofolio Optimal Tahun 2012-2015 (Studi Pada Saham-saham Yang Terdaftar Dalam Indeks Idx30 Di Bursaiefekiindonesia Periodehfebruari 2012 - Agustus 2015)

The purpose of this research is to know the performance of stock IDX30 based on ERB, to knowing the proportion of funds each stock that formed portofolio, to knowing expected return and risk of portofolio. This research is the kind of descriptive with the quantitative approach. The location this research in the Investment Gallery Faculty of Economics and Business Brawijaya University. The samples in this research is 13 stocks. The results of this research showed the highest stock performance analysis from ERB in 2012 is PGAS, in 2013 is UNVR, in 2014 is BBCA, in 2015 is UNVR. The proportion funds each stock that formed optimal portofolio in 2012 is PGAS (26.60%), INDF (44,13%), CPIN (10.80%), INTP (10.70%), SMGR (7.77%), in 2013 is UNVR (65,41%), and the INDF (34.59%), in 2014 is BBCA (14,74%), BBNI (29.54%), GGRM (8,84%), PGAS (35.88%), BBRI (9,65%), the BMRI (1.36%), in 2015 only one companies that is UNVR, so the proportion funds is 100%. Expected return portofolio to be obtained investor in 2012 is 3.03% with risk is 0,04%, expected return in 2013 is 1.93% with risk is 0,06%, expected return in 2014 is 3,38% with risk is 0,02%

THE SINGLE INDEX MARKET MODEL IN AGRICULTURE

This study illustrates the differences in empirical results due to data measurements and estimating procedures when applying the single index market model in agriculture. Gross and net return betas along with systematic and unsystematic risk proportions are estimated and found to be different. The stochastic coefficients model is used to show the difference in beta-risk estimates compared with the traditional fixed coefficients OLS procedure. A third estimating technique, weighted least squares/Prais Winsten method, is also proposed.Research Methods/ Statistical Methods,

Single Index Model Sebagai Alat Analisis Optimalisasi Portofolio Investasi Saham (Studi Kasus Pada Kelompok Saham Lq-45 Di Bei Tahun 2009-2011)

Penelitian ini bertujuan 1) Untuk menentukan sekelompok saham LQ-45 untuk dibentuk menjadi portofolio yang optimal dengan menggunakan single index model. 2) Untuk membuktikan bahwa mendiversikasikan sekelompok saham-saham dalam satu portofolio investasi saham akan menurunkan risiko lebih kecil daripada risiko saham-saham tersebut apabila ditransaksikan secara individual. Teknik pengambilan sampel penelitian ini menggunakan metode sampling purposive. Teknik pengumpulan data penelitian ini menggunakan cara dokumentasi dengan data sekunder. Metode analisis data yang digunakan dalam penelitian ini adalah Single Index Model. Hasil penelitian menunjukkan 1) Dengan menggunakan Single Index Model diperoleh hasil portofolio optimal dan Perusahaan yang termasuk kedalam portofolio optimal adalah saham Perusahaan Astra Argo Lestari,Tbk (AALI) dan Aneka Tambang, Tbk (ANTM). 2) Terbukti bahwa dengan diversifikasi dalam suatu portofolio saham dapat menurunkan risiko daripada risiko saham-saham pembentuk portofolio apabila ditransaksikan secara individual

Robust variable selection in partially varying coefficient single-index model

By combining basis function approximations and smoothly clipped absolute deviation (SCAD) penalty, this paper proposes a robust variable selection procedure for a partially varying coefficient single-index model based on modal regression. The proposed procedure simultaneously selects significant variables in the parametric components and the nonparametric components. With appropriate selection of the tuning parameters, we establish the theoretical properties of our procedure, including consistency in variable selection and the oracle property in estimation. Furthermore, we also discuss the bandwidth selection and propose a modified expectation-maximization (EM)-type algorithm for the proposed estimation procedure. The finite sample properties of the proposed estimators are illustrated by some simulation examples.The research of Zhu is partially supported by National Natural Science Foundation of China (NNSFC) under Grants 71171075, 71221001 and 71031004. The research of Yu is supported by NNSFC under Grant 11261048

Empirical properties of the variety of a financial portfolio and the single-index model

We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the variety time evolution is not time reversal around the crash days. We obtain the theoretical relation between the square variety and the mean return of the ensemble return distribution predicted by the single-index model. The single-index model is able to mimic the average behavior of the square variety but fails in describing quantitatively the relation between the square variety and the mean return of the ensemble distribution. The difference between empirical data and theoretical description is more pronounced for large positive values of the mean return of the ensemble distribution. Other significant deviations are also observed for extreme negative values of the mean return.Comment: 8 pages, 5 figures, 3 table