PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS IDX30 DI BEI
Abstract
Mengetahui sekuritas yang masuk ke dalam penentuan portofolio optimal beserta dengan proporsi dari masing-masing saham serta untuk mengetahui besar return dan risiko portofolio yang diperoleh investor dikemudian hari.merupakan tujuan dari penelitian Penelitian dilakukan pada Indeks IDX30 di BEI periode Agustus 2016 – Januari 2018. Populasi penelitian ini menggunakan saham-saham yang tergabung dalam Indeks IDX30 dengan sampel sebanyak 25 saham Indeks IDX30 selama periode penelitian. Penelitian menggunakan model portofolio optimal, yaitu Model Indeks Tunggal. Hasil dari penelitian menunjukan dari 25 saham terdapat 8 saham yang dapat membentuk portofolio optimal dengan proporsinya masing-masing, yang terdiri dari saham ADRO, BBCA, BBNI, BBRI, BMRI, GGRM, PWON, dan UNTR. Saham-saham ini memberikan expected return portofolio sebesar 3,25 persen dengan tingkat risiko portofolio sebesar 0.07 persen.
Kata kunci: Investasi Saham, Return, Risiko, Portofolio Optimal, Model Indeks Tunggal.
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