ANALISIS PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL(Studi pada perusahaan-perusahaan pertambangan yang terdaftar di BEJ)
| Main Author: | Tyas, Anita Wahyuning |
|---|---|
| Format: | Thesis NonPeerReviewed Book |
| Bahasa: | eng |
| Terbitan: |
, 2008
|
| Subjects: | |
| Online Access: |
http://eprints.umm.ac.id/7180/1/ANALISIS_PORTOFOLIO_OPTIMALBERDASARKAN_MODEL_INDEKS_TUNGGAL.pdf http://eprints.umm.ac.id/7180/ |
Daftar Isi:
- This research represent study at companies of mining which enlist in BEJ in January - November 2007 with title "Analyse Optimal Portofolio Pursuant To Single Model Index (Study at companies of mining which enlist in BEJ)" Target of this research is to know shares mining of period of January - November 2007 which forming optimal portofolio and level proportion of each share and also to know the level of risk and return of portofolio. Analyzer the used is Single Model Index, where the model assume that sekuritas return-return have correlation caused by reaction of to change of market value. Single Model Index can be used to know risk and return a share. While to lessen the existence of risk, investor can form optimal portofolio, that is shares combination giving maximal return with certain risk or certain return with minimum risk. Measuring rod used to determine that shares is included in optimal portofolio if the shares have value of excess high beta to return (ERB C*). Excess Return is difference between expected return with freeļ³ return of risk. Excess Return to Beta (ERB) represent comparison between return excess with market risk (beta). While C* is cut off point to determine categorized shares have high ERB. From result of analysis, mining shares which forming optimal portofolio is Bumi Resources Tbk equal to 62,86761 %, Tambang Batubara Bukit Asam Tbk equal to 35,03436 % and ATPK Resources Tbk equal to 2,09803 %. Forming of optimal portofolio of the mining shares give optimal portofolio return expected equal to 6,177% with risk of portofolio equal to 5,992 %. Pursuant to research which have been done, risk level of portofolio which must be accounted on equal to 5,992 %. The value smaller in comparison with individual risk of share. This matter prove that forming of share portofolio can minimize accounted by risk investor