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ANALISIS PEMBENTUKAN PORTOFOLIO YANG OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL DI BURSA EFEK SURABAYA
From the calculation of the shares of LQ45, were resulted selected four stocks in the portfolio,
which is in the efficient frontier. The shares are PT Bhakti Investama Tbk, PT XL Axiata Tbk, PT
Media Nusantara Citra Tbk, and PT Unilever Indonesia Tbk. From 4 shares can be combined as much
as 10 portfolios. From the ten of the portfolios selected three of the best portfolio which are in efficient
frontier that can be recommended to investors are: BCD Portfolio, which consists of shares EXCL,
MNCN and UNVR recommended for investors with a tendency to choose the lowest risk at a
particular return, AC portfolio, which consists of shares MNCN and BHIT recommended for
investors with a tendency to choose the highest return at particular risk, and ABC portfolio, which
consists of shares BHIT, EXCL, and MNCN recommended to moderate investors.
From the three kinds of optimal portfolios of the results it is advisable for investors who are risk
averter (not like risk) in order to select the combination of BCD shares consisting of shares EXCL,
MNCN and UNVR, because it has the lowest risk portfolio.
Keywords: Portofolio Analysis, Optimal, Model Indeks Tunggal
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