Sihaloho, Angrekta N. (2021) PENERAPAN MODEL INDEKS TUNGGAL (SINGLE - INDEX MODEL) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45 UNTUK PENGAMBILAN KEPUTUSAN INVESTASI. Undergraduate thesis, UNIMED.
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Abstract
Dalam berinvestasi, masalah umum yang sering dihadapi oleh investor ialah ketidakpastian dalam menentukan saham yang akan digunakan sebagai pembentuk portofolio. Pemilihan saham yang tidak tepat sering mengakibatkan kerugian kepada investor. Tujuan dari penelitian ini adalah untuk menentukan saham-saham yang dapat digunakan sebagai pembangun sebuah portofolio optimal dengan menggunakan Single Index Model. Pada Model Indeks Tunggal, saham pembentuk portofolio optimal dapat ditentukan berdasarkan tingkat ERB (Excess Return to Beta) saham yang lebih besar atau sama dengan nilai Cut-Off Point. Selain penentuan saham untuk portofolio optimal, Model Indeks Tunggal juga dapat membantu investor untuk mengetahui besar Expected Return yang akan diperoleh dan proporsi dana yang harus dialokasikan jika berinvestasi pada kombinasi portofolio optimal yang terbentuk. Saham yang digunakan merupakan saham yang tergabung pada indeks LQ-45, dalam kurun waktu Februari 2018 hingga Januari 2020, yang tidak melakukan stock split. Pada penelitian ini, dengan memilih saham yang memiliki ERB ≥ C∗ dari 33 sampel saham perusahaan diperoleh 6 saham pembangun portofolio optimal dengan proporsi dana kepada tiap saham yaitu Indofood CBP Sukses Makmur Tbk (ICBP) sebesar 26,24%, Chandra Asri Petrochemical Tbk (TPIA) sebesar 4,38%, Bank Central Asia Tbk (BBCA) sebesar 54,99%, Bank Rakyat Indonesia (Persero) Tbk (BBRI)sebesar 13,40%, Media Nusantara Citra Tbk (MNCN) sebesar 0,66%, XL Axiata Tbk (EXCL) sebesar 0,33%. dengan Ekspektasi Return dari portofolio yang terbentuk sekitar 0,017 atau 1,7% dan risiko yang akan ditanggung oleh investor sekitar 0,0013 atau 0,13%.
Item Type: | Thesis (Undergraduate) | ||||||
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Contributors: |
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Call Number: | SK-2022 MAT 043 | ||||||
Keywords: | Investasi; Pasar modal; Saham; Return; Resiko; Portofolio; Model indeks tunggal | ||||||
Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA299 Analysis |
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Divisions: | Fakultas Matematika dan Ilmu Pengetahuan Alam > Matematika | ||||||
Depositing User: | Mrs Harly Christy Siagian | ||||||
Date Deposited: | 13 Jun 2022 09:04 | ||||||
URI: | http://digilib.unimed.ac.id/id/eprint/46122 |
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