OPTIMASI PORTOFOLIO SAHAM DENGAN MENGGUNAKAN MODEL MARKOWITZ

FITRIANI, ARI (2014) OPTIMASI PORTOFOLIO SAHAM DENGAN MENGGUNAKAN MODEL MARKOWITZ. Undergraduate thesis, UNIMED.

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Abstract

Salah satu alternatif investasi yang paling menjanjikan keuntungan adalah dengan menanamkan dana di pasar modal. Dalam berinvestasi seorang investor dihadapkan pada berbagai macam pilihan investasi, Semakin tinggi tingkat pengembalian yang diharapkan, maka semakin tinggi pula risiko yang akan dihadapi. Para investor juga akan kebingungan untuk menentukan saham apa yang terbaik yang harus dimasukkan ke dalam portofolio dan berapa proporsi dana yang akan mereka investasikan. Berdasarkan pada permasalahan tersebut, dalam tulisan ini digunakan model Markowitz untuk memilih saham terbaik yang akan dimasukkan ke dalam portofolio berdasarkan perhitungan dan analisis optimasi tingkat return dan risiko tiap-tiap saham, uji kesesuaian Chi-Square, perhitungan koefisien korelasi dan kovarians. Setelah terpilih empat saham terbaik selanjutnya dilakukan pembentukan portofolio optimal dan ditentukan berapa banyak proporsi dana yang diinvestasikan pada masing-masing saham.Data yang digunakan dalam tulisan ini adalah data yang tercatat di Bursa Efek Indonesia (BEI) selama bulan Oktober 2012-Oktober 2013. Sampel yang digunakan adalah enam saham yang termasuk dalam perusahaan bank dengan nilai kapitalisasi terbesar selama periode 2012-2013, analisis optimasi yang dilakukan dengan model Markowitz menghasilkan 12 kombinasi portofolio yang terdiri dari saham-saham terbaik. Dari 12 kombinasi portofolio ini terpilih 1 portofolio yang optimal yaitu gabungan saham BBCA dan BBNI dengan Proporsi masing-masing BBCA 72% dan BNII 28% . Tingkat risiko portofolio ini adalah 0,01965 atau 1,96% dan tingkat pengembaliannya sebesar 0,0010 atau 0,01%.

Item Type: Thesis (Undergraduate)
Contributors:
ContributionNameNIDN/NIDK
Thesis advisorKhairani, Nerli196801141994122001
Call Number: 519.537 Fit o
Keywords: Investasi; Investasi Langsung; Pasar Modal; Bursa Efek; Saham; Bank
Subjects: Q Science > QA Mathematics
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam > Matematika
Depositing User: Mr Muhammad Iqbal
Date Deposited: 08 Apr 2016 08:34
URI: http://digilib.unimed.ac.id/id/eprint/11833

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