Department of Accounting, 2009

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PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL SEBAGAI ALAT PENGAMBILAN KEPUTUSAN PADA SAHAM YANG TERDAFTAR DI BEI

Sri Rahayu

Abstract


This research entitles ?The Optimal Portofolio Formation with The Single Indeks Model as Instrument Decision Taking at Share Listing in BEI?. The research type used is Descriptive.
The purpose of this research is to know the food and beverage share forming optimal portofolio. To determine the fund proportion of each share in forming optimal portofolio and to determine the level of expected return and risk of the shares forming optimal portofolio.
The analyzer used in this research is single indeks model. Single index model is an analysis conducted to determine the optimal portofolio by comparing value of excess return to beta (ERB) by its cut off point (Ci) from each share, ERB respresents the excess of return relative to one unik which cannot be diversified measured with the beta. While cut off point it self represents the constrictor dot delimitating ERB value of how much it is told high. The share owning ERB value ≥ C* (the highest Ci) includes in optimal portofolio.
The result of analysis in this research is there are 3 share incoming in optimal portofolio because of owning ERB value ≥ C*, the shares such as : INDF with the fund proportion at 39.36%, STTP with the fund proportion at 43.16%, MYOR with the fund proportion at 17.48%.
From the optimal portofolio formed (3 share), it gets portofolio expected return E(Rp) at 0.0014 and portofolio risk at 0.0003.

 

Keyword : portofolio optimal, pengambilan keputusan, saham



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