Simulation Of Optimal Portfolio Using Single Index Model and Markowitz Model On Lq-45 Index Shares For 2018
-
(1) * Novi Puji Lestari
Universitas Muhammadiyah Malang
Indonesia
(*) Corresponding Author
Abstract
The essence of portfolio formation is to reduce risk by means of diversification, namely allocating a number of funds to various investment alternatives that are negatively correlated. To select returns in a portfolio, you can use the Single Index Model and the Markowitz Model. This study was conducted with the aim of comparing the calculation of which company portfolios can provide a good rate of return with a small risk using the Single Index and Markowitz Model based on the sector of the company. So that the results of this study can provide recommendations to investors in decision making on portfolio selection. The research was conducted on companies indexed by LQ 45 on the Indonesia Stock Exchange. The research period is to use companies indexed by LQ 45 in 2018 for two periods.
References
Abdul Halim Universitas Gajayana. (2018). Analisis Investasi dan Aplikasinya (2nd ed.). Jakarta: Salemba Empat.
Eka Pratiwi, A., Dzulkirom, M., & Farah Azizah, D. (2014a). Analisis Investasi Portofolio Saham Pasar Modal Syariah Dengan Model Markowitz Dan Model Indeks Tunggal. Jurnal Administrasi Bisnis, 17(Desember), 1–10.
Eka Pratiwi, A., Dzulkirom, M., & Farah Azizah, D. (2014b). Analisis Investasi Portofolio Saham Pasar Modal Syariah Dengan Model Markowitz Dan Model Indeks Tunggal. Jurnal Administrasi Bisnis.
Halim, A. (2005). Analisis investasi. Jakarta: Salemba Empat.
Jorgiyanto H.M. (2008). Analisis dan Desain Sistem Informasi: Pendekatan Terstruktur Teori dan Praktek Aplikasi Bisnis. In Andi Publisher.
Kertopati, B. (2013). Analisa Pembentukan Portofolio Dengan Menggunakan Model Markowitz Dan Single Index Model pada Saham yang masuk Dalam Indeks LQ45 Di Bursa Efek Indonesia Tahun 2009 – 2013.
Prasetyo, A. T. (2017). Analisis Pembentukan Portofolio Optimal Dengan Menggunakan Model Indeks Tunggal Pada Indeks Saham LQ 45 Periode 2015 - 2016. Jurnal Simki-Economic.
Septyanto, D., & Kertopati, B. (2014). Analisa Pembentukan Portofolio Dengan Menggunakan Model Markowitz dan Single Index Model Pada Saham Yang Masuk Dalam Indeks LQ45 Di Bursa Efek Indonesia Tahun 2009-2013. Finance and Banking Journal.
Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio. In Analisis Investasi dan Manajemen Portofolio11.
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. In Yogyakarta: Kanisius. https://doi.org/10.2753/MIS0742-1222260306 DOI: https://doi.org/10.2753/MIS0742-1222260306
Copyright (c) 2021 Novi Puji Lestari
This work is licensed under a Creative Commons Attribution 4.0 International License.
