UPN "Veteran" Jakarta Conference Systems, Konferensi Riset Nasional Ekonomi, Manajemen, dan Akuntansi I

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Analysis Of Optimum Stock Portfolio Using The Single Index Model (Empirical Study : Bisnis-27 and JII Stocks)
yulius derivan buana sakti, Nurmatias Nurmatias, Fitri Yetty

Last modified: 2020-01-30



This research is a quantitative research that aims to analyze stocks on the Bisnis-27 and JII Indexto become an optimum portfolio using the Single Index Model. In this reserach used purposive sampling with the criteria of stocks that always enter the index during the research period, so that a sample of 21 stocks is obtain for the Bisnis-27 index and 27 stocks for the JII index. The results of these two index obtained 3 stocks in  Bisnis-27 which can be formed into an optimum portfolio while for the JII index of 4 stocks. In the optimum portfolio of Bisnis-27 index a portfolio  return of  0,0452 or 4,5% is generated and also with a portfolio risk level of 0,0095 or 0,95%, then for an optimum portfolio JII index  a portfolio return of 0,0288 or 2,8% is generated and also with a portfolio risk level of 0,0100 or 1,00%.


Portofolio Optimal, Optimum Portfolio, Single Index Model, Bisnis-27 Index, JII Index

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