Pembentukan Portofolio Optimal Dengan Menggunakan Model SIM (Single Indeks Model) Dan CAPM (Capital Asset Pricing Model)

Amalia, Naili and , Imronudin, SE, MSi, PhD (2018) Pembentukan Portofolio Optimal Dengan Menggunakan Model SIM (Single Indeks Model) Dan CAPM (Capital Asset Pricing Model). Skripsi thesis, Universitas Muhammadiyah Surakarta.

	PDF (NASKAH PUBLIKASI) NASKAH PUBLIKASI.pdf Download (622kB)
	PDF (HALAMAN DEPAN) HALAMAN DEPAN.pdf Download (192kB)
	PDF (BAB I) BAB I.pdf Download (24kB)
	PDF (BAB II) BAB II pdf.pdf Restricted to Repository staff only Download (446kB) | Request a copy
	PDF (BAB III) BAB III pdf.pdf Restricted to Repository staff only Download (260kB) | Request a copy
	PDF (BAB IV) BAB IV pdf.pdf Restricted to Repository staff only Download (600kB) | Request a copy
	PDF (BAB V) BAB V.pdf Restricted to Repository staff only Download (10kB) | Request a copy
	PDF (DAFTAR PUSTAKA) DAFTAR PUSTAKA.pdf Download (7kB)
	PDF (LAMPIRAN) LAMPIRAN.pdf Restricted to Repository staff only Download (46kB) | Request a copy
	PDF (SURAT PERNYATAAN NASKAH PUBLIKASI) SURAT PERNYATAAN NASKAH PUBLIKASI.pdf Restricted to Repository staff only Download (8kB) | Request a copy

Abstract

This study aims to analyze the formation of efficient portfolio so as to produce optimal stock portfolio with SIM model (Single Index Model) with CAPM (Capital Asset Pricing Model). It is expected that this research can be used as a reference for investors in investing and investors thinking realistically by analyzing before investing. The type of this research is descriptive research with quantitative approach. Sampling using purposive sampling method is by taking 2 securities in nine sectors that are in BEI so that the total sample there are 18 securities. Index data in this study using JCI (Composite Stock Price Index) in accordance with the study period from August 2016 to January 2017. The data used is the monthly closing price data in accordance with the period of observation period. From the calculation using SIM model resulted 2 candidate company optimal portofolio that is PGAS and AALI, expected return portofolio equal to 0.002642 with risk level equal to 0.010591. Calculations using the CAPM model resulted in 3 optimal candidate portfolio companies ie INTP, LPIS, and UNVR with expected portofolio return of 0.091736 with a risk level of -0.28079. The results of this study indicate that the establishment of an optimal portfolio using the CAPM model provides the expected return return of a higher portfolio or an optimal portfolio with a lower risk level than using the SIM model. In this study the use of SIM model has a higher risk because it only consists of 2 securities than the use of CAPM model has a smaller risk because it consists of 3 securities. Diversifying stocks in portfolio formation will reduce the level of portfolio risk. Thus it can be concluded that investors should think rationally to analyze using the right model and easy to invest so as to produce the formation of optimal stock portfolio with a certain level of risk.

Item Type:	Karya ilmiah (Skripsi)
Uncontrolled Keywords:	optimal portfolio, SIM, CAPM, portfolio risk, expected return
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User:	NAILI AMALIA
Date Deposited:	17 Jan 2018 05:52
Last Modified:	17 Jan 2018 05:52
URI:	http://eprints.ums.ac.id/id/eprint/58181

Actions (login required)

View Item