PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45

Dani, Zulfa Winda (2016) PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45. S1 thesis, Universitas Negeri Jakarta.

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Abstract

ABSTRACT Zulfa Winda Dani, 2016; The Construction of Optimal Portfolio in LQ-45. Thesis, Jakarta: Concentration Financial Management, Study Program of Management, Faculty of Economics, State University Of Jakarta. The purpose of this research was to find candidates who will enter the stock portfolio and determining what proportion of funds should be allocated to each of the selected stocks in the portfolio, and then evaluate and analyze the performance of each model was formed by Single Index Model and Constant Correlation Model. The data used in this research is data 27 of stock company thatactively traded in the LQ-45 during the period 2013-2015. The results showed that the optimal portfolio formed by Single Index Model contains 4 combination of stock, it consists of UNVR amount to51.55% UNVR, AKRA amount to 25.58%, ICBP amount to 21.57% and BBCA amount to 1.92% .While the optimal portfolio formed by Constant Correlation Model contains constains4combination of stock, it consists of UNVR amount to 33.17%, AKRA amount to 37.50%, ICBP amount to 26.04%, and BBCA amount to 3.30%. The results of the portfolio performance was formed by Single Index Model better than the optimal portfolio was formed by Constant Correlation Model. Keywords: Optimal portfolio, LQ-45 Index, Single Index Model, Constant Correlation Model.

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