Detail Inovasi Perguruan Tinggi


Tema: MANAJEMEN KEUANGAN
Judul: ANALISIS PORTOFOLIO OPTIMAL PADA BEBERAPA PERUSAHAAN LQ - 45 KOMPARASI PENDEKATAN MARKOWITZ DAN MODEL INDEKS TUNGGAL
Perguruan Tinggi: Sekolah Tinggi Ilmu Ekonomi Kesatuan
Jenis/sdm: dosen/0419085804

Tahun: 2017

ANALISIS PORTOFOLIO OPTIMAL PADA BEBERAPA PERUSAHAAN LQ
-
45 KOMPARASI
PENDEKATAN MARKOWITZ DAN MODEL INDEKS
TUNGGAL
Dwiana Sanjaya Putri
dan
Nusa Muktiadji
Sekolah Tinggi Ilmu Ekonomi Kesatuan
Bogor, Indonesia
Email :
lemlit@stiekesatuan.ac.id
ABSTRACT
In order to minimize the risk, every investor will diverse their
investments
in a
portfolio.
T
his research will form two portfolios, containing three stocks with the
highest return and the lowest risk
s,
and with the dividend for the last five years. The two
methods used are Single Index Model and Markowitz. Single Index
Model involving
market in its process while Markowitz only considering the correlation between each
stocks. Later will be shown, that both methods’ result
s
are the same for
both
return
s
(Individual stocks and portofolio), and a slightly different result with the portofolio’s
risks.
This
proves that the correlation between stocks are also involving
in
the market.
Alam Sutera Realty (ASRI), AKR Corporindo (AKRA), and Global Mediacom (BMTR)
are chosen as they have the highest return since 2010, while Astra Agro Lestari (AALI),
Adhi Wijaya (ADHI), and Bank Negara Indonesia (BBNI), are chosen for its lowest risk
for the last five years. The portfolio A’s return
s
, calculated with Markowitz meth
od is
45.7% and the risk is 33.78%, and the single index model result
s
for return is exactly
the same, 45.7% while the risk is slightly different, 35.8%. The portfolio B’s return,
calculated with Markowitz method is 20.7% and the risk is 27.67%, and the si
ngle index
model’s result for return is exactly the same, 20.7% while the risk is slightly different,
28.24%.