Analisis Pemilihan Portofolio Optimal Dengan Model Dan Pengembangan Dari Portofolio Markowitz (Studi Pada Indeks Bisnis-27 Di Bursa Efek Indonesia Periode 2011 - 2013)

Abstract

This research aims to determine compare and analyze an optimization portfolio selection developed by a variety of Markowitz portfolio model. Used in this optimal portfolio among others, Mean Variance (MV) Downside Deviation (DD) Mean Absolute Deviation (MAD). Researchers used data is secondary data drawn from BUSINESS-27 Index published by the Indonesia Stock Exchange 2011-2013 using a sample of 10 companies by using purposive sampling technique. The results of this study explain that the Mean Absolute Deviation are optimal portfolio that can provide the highest returns and optimization performance so appropriate for investors with a preference for risk seekers. Downside Deviation is an optimization portfolio that delivers the lowest risk so the model is appropriate for investors with risk averse preferences