Analisis Porfolio Optimum Menggunakan Model Markowitz Pada Saham Sektor Perbankan Tahun 2009
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Institusion
STIE Indonesia Banking School
Author
Adhianto, Hanur Putro
Subject
HD28 Management. Industrial Management
Datestamp
2020-10-07 04:52:36
Abstract :
The failure of the investors in forming an optimal portfolio isbecause investors generally get too much or too little information, so that investors could not retrieve the most relevant and most needed for making a set of portfolios and for analyzing long-term prospects. The concept of diversification is a way that can be done to solve this problem, diversification provides the most relevant piece of information that can be used to measure the uncertainty of investment risk by using a variant of the return. The variance of measurement results can then be used as a basis for analyzing stocks that may be selected to form a series of portfolios that can provide an optimal return. The purpose of the study is how the optimum composition of the portfolio containing stocks of the index of banking shares LQ45 year 2009 by using the Markowitz model. Calculation and analysis to find the optimum combination of stock portfolios of the banking sector are conducted by using solver in Microsoft Excel, to calculate the return, standard deviation of stock, stock correlation, covariance stock, variance portfolio, portfolio return and standard deviation The optimum portfolio can be formed from six share of the banking sector included in the LQ45 index using the Markowitz model which has a high standard deviation of 11.0% with a rate of return of 5.00%. Containing BBCA 50.2% shares, BBRI 33.8% shares, BDMN 9.8% shares and 6Keywords: optimal portfolio, Markowitz model, stocks.2% shares of BMRI.
The failure of the investors in forming an optimal portfolio isbecause investors generally get too much or too little information, so that investors could not retrieve the most relevant and most needed for making a set of portfolios and for analyzing long-term prospects. The concept of diversification is a way that can be done to solve this problem, diversification provides the most relevant piece of information that can be used to measure the uncertainty of investment risk by using a variant of the return. The variance of measurement results can then be used as a basis for analyzing stocks that may be selected to form a series of portfolios that can provide an optimal return. The purpose of the study is how the optimum composition of the portfolio containing stocks of the index of banking shares LQ45 year 2009 by using the Markowitz model. Calculation and analysis to find the optimum combination of stock portfolios of the banking sector are conducted by using solver in Microsoft Excel, to calculate the return, standard deviation of stock, stock correlation, covariance stock, variance portfolio, portfolio return and standard deviation The optimum portfolio can be formed from six share of the banking sector included in the LQ45 index using the Markowitz model which has a high standard deviation of 11.0% with a rate of return of 5.00%. Containing BBCA 50.2% shares, BBRI 33.8% shares, BDMN 9.8% shares and 6Keywords: optimal portfolio, Markowitz model, stocks.2% shares of BMRI.
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