Analisis Portofolio Optimal Dengan Single Index Model Untuk Meminimumkan Risiko Bagi Investor Di Bursa Efek Indonesia (Studi Pada Saham Indeks Kompas 100 Periode Februari 2010-juli 2014)

Abstract

Investments can be made in the capital market, capital market instruments which are mostly attractive for investors is stock. Stock provides a return in the form of capital gains and dividends yield, not only noticing the return, investors need to pay attention to the investments risk. Unsystematis risk can be minimized by forming the optimal portfolio using one of the methods that is single index model. Study purpose is to knowing the stocks forming the optimal portfolio, the proportion of funds allocated to each stocks, the level of expectation return and risk.The method used in this research is descriptive research method with a quantitative approach. The samples used were 46 stocks in Kompas 100 Index, which meets the criteria for sampling. The results showed that 12 stocks of forming optimal portfolio, the stocks of which are UNVR, TRAM, MNCN, BHIT, JSMR, BMTR, GJTL, KLBF, AALI, CPIN, AKRA, and ASRI. Stock with highest proportion of funds is TRAM (23,52%), stock with lowest proportion of funds is AALI (0,62%). Portfolio which are formed will give return expectations by 3,05477% and carry the risk for about 0,1228%