PENERAPAN MODEL INDEKS TUNGGAL DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM PERUSAHAAN FOOD ANDBEVERAGE YANG TERCATAT DI BEJ
| Main Author: | HARTATIK, SITI |
|---|---|
| Format: | Thesis NonPeerReviewed Book |
| Bahasa: | eng |
| Terbitan: |
, 2007
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| Subjects: | |
| Online Access: |
http://eprints.umm.ac.id/6561/1/PENERAPAN_MODEL_INDEKS_TUNGGAL_DALAMPEMBENTUKAN_PORTOFOLIO_OPTIMAL_PADASAHAMSAHAMPERUSAHAAN_FOOD_ANDBEVERAGE_YANG_TERCATAT_DI_BEJ.pdf http://eprints.umm.ac.id/6561/ |
Daftar Isi:
- This research titled "Application of Single Index Models in the Optimal Portfolio Formation In Shares Food and Beverage Companies Listed On The JSE. The purpose of this study is to analyze any stock that is formed in the optimal portfolio, to know the size of the proportion of each stock included in the optimal portfolio, and to know the size of the expected rate of return and risk level of a stock portfolio that is formed in the optimal portfolio. The analytical tool used is the single index model with the aid of a computer program Microsoft Excel. Determination of stock candidates that enter the optimal portfolio is based on a figure that is the ratio between the excess return to beta (Erb). Stocks that form the optimal portfolio are shares that have a value greater than or equal Erb by Erb value at point C * (Ci value where value Erb last time is still greater than the value of Ci). The results showed that of 20 Food and Beverage Company's shares are listed on the JSE in 2005, there are 5 stocks that form the optimal portfolio. These shares are SKLT with the proportion 83.69%, AISA with the proportion of 1.26%, STTP with the proportion 14.49%, 0.39% PSDN proportions, and SMAR with the proportion of 0.16%. The expected portfolio return of the optimal portfolio of -0.01014 and portfolio risk level of 0.00047. Based on the analysis that has been done, it can be concluded that in 2005 investment in food and beverage sector less profitable. In order for investors to obtain maximum benefit, investments should be done not only on one stock or one sector