Abstract :
Stock is the type of investmet with the high risk high return that is having the high
risk but could produce the hight profit as well. Stock portofolio is a collection of shares
that owned by an investor. Optimal stock portofolio will maximize the value of expected
return and minimized the risk by combining some stocks with the right proportions.
The method that used in this research is the Single Index Model. Single Index
Model is a method in which an issuer?s stock return has a liniear relationship with the
market return. The main purpose of this research is to investigate and anylize the
portofolio expected return and risk optimal portofolios based on Single Index Model.
The research results showed there were seventeen stocks with a cut-off point (C*)
0.024365. Optimal portfolio is formed by the seven stocks that have returned the excess
beta (ERB) is greater than the cut-off point. Tambang Batubara Bukit
Asam(PTBA),Astra Agro Lestari (AALI), United Tractors (UNTR), Perusahaan Gas
Negara (PGAS), Indofood Sukses Makmur (INDF), Holcim Indonesia (SMCB), and
Astra International (ASII) with excess return to beta (ERB) of 4.31%, 3 , 37%, 3.21%,
2.94%, 2.85%, 2.63% and 2.56%. The proportion of seven shares of the fund29.42%,
for PTBA 15.93% for Aali, 16.74% for UNTR, 9.86% for PGAS, 9.71% for INDF, 7.29%. Keywords : Single Index Model, Optimal Portofolio.