Analisis Metode Capital Asset Pricing Model Dalam Upaya Pemilihan Portofolio Optimal Terhadap Investasi Saham (Studi pada Perusahaan yang Masuk dalam Perhitungan Indonesia Stock Exchange Periode 2016 – 2017)

The purpose of this study is to analyze the optimal portfolio selection on companies that listed in IDX30 when measured by Capital Asset Pricing Model method 2016-2017 period to investment decision making. The data used are secondary data in accordance with the companies of the sample listed on the IDX (Indonesia Stock Exchange), and Bank Indonesia. The research method used is descriptive method. The sampling technique used purposive sampling by taking samples of 15 companies. The results show that efficient stock companies are stocks that have an individual realization return rate greater than expected returns [Ri> E (Ri)] or [Ri> E (Rj)]. During the period of research from 2016-2017 there were 10 stocks of efficient companies, while five other shares were included into inefficient companies. Stock prices that are included in the efficient stock group, will increase so that the return realization is high which is directly proportional to the value of beta. Thus, investors should invest in efficient stock groups