Analisis Optimisasi Portofolio Saham Syariah (Studi Kasus pada Jakarta Islamic Index Periode 2005-2009)
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Institusion
STIE Indonesia Banking School
Author
Ramadhan, Adam
Subject
HD28 Management. Industrial Management
Datestamp
2020-08-24 02:35:47
Abstract :
In the world of investing investors need to perform calculations and analysis in selecting investments for the investment activities aimed at analyzing the results of investment gains (returns) a maximum at a certain level of risk or minimize risk to get a certain return. Therefore, investors should understand the concept of portfolio management that exist in an effort to minimize risks and obtain optimal return which is the hope for all investors. With the basic guidelines of the investment. Then an investor will only invest in a portfolio that will provide optimal results with minimal risk. The purpose of this study was to calculation and analyze the composition of optimal portfolio and find out and analyze portfolio risk and expected results of the optimal portfolio based on the single index model. single index model is based on observations of a security's price fluctuates in line with the market price index. This shows that the return-refund effect can be correlated because of general reaction to changes in market value. The optimal portfolio composition for each issuer can be formed from seven stocks from the jakarta islamic index using a single index model with the following composition of Bumi Resourse (3,57%), International Nikel (5,33%), Indocement Tunggal Prakasa (13,10%), Kalbe Farma (3,35%), Tambang Batubara Bukit Asam (23,14%), Telekomunikasi (1,33%), and Unilever Indonesia (50,18%) with an expected return 0.0314 or 3, 15% and residual error variance 0.26564. Keywords: optimal portfolio, Single Index model, stocks.
In the world of investing investors need to perform calculations and analysis in selecting investments for the investment activities aimed at analyzing the results of investment gains (returns) a maximum at a certain level of risk or minimize risk to get a certain return. Therefore, investors should understand the concept of portfolio management that exist in an effort to minimize risks and obtain optimal return which is the hope for all investors. With the basic guidelines of the investment. Then an investor will only invest in a portfolio that will provide optimal results with minimal risk. The purpose of this study was to calculation and analyze the composition of optimal portfolio and find out and analyze portfolio risk and expected results of the optimal portfolio based on the single index model. single index model is based on observations of a security's price fluctuates in line with the market price index. This shows that the return-refund effect can be correlated because of general reaction to changes in market value. The optimal portfolio composition for each issuer can be formed from seven stocks from the jakarta islamic index using a single index model with the following composition of Bumi Resourse (3,57%), International Nikel (5,33%), Indocement Tunggal Prakasa (13,10%), Kalbe Farma (3,35%), Tambang Batubara Bukit Asam (23,14%), Telekomunikasi (1,33%), and Unilever Indonesia (50,18%) with an expected return 0.0314 or 3, 15% and residual error variance 0.26564. Keywords: optimal portfolio, Single Index model, stocks.
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