scholarly journals Analisis Pembentukan Portofolio Optimal dengan Metode Stochastic Dominance dan Single Index Model Pada Saham Industri Real Estate and Property diBursa Efek Indonesia

2018 ◽  
Vol 10 (2) ◽  
pp. 202-217
Author(s):  
Eftika Riya Ningrum ◽  
Yuni Utami
Keyword(s):  
Real Estate ◽  
Stochastic Dominance ◽  
Optimal Portfolio ◽  
Stochastic Method ◽  
Test Results ◽  
Index Method ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Return

This study aims to see whether there is a difference between the stochastic dominance method and the single index method in forming an optimal portfolio. And see which method is more optimal. The sample used in the study was a real estate and property company listed on the IDX period (2013 -2017) using purposive sampling and analysis sampling techniques using the average difference test. After being tested with each method both modelstochastic and single index model, the results showed that there were differences in returns from the formation of an optimal portfolio with the test results which obtained the results of 0.048 under a significant level of 0.05. And the results of the portfolio return calculation formed by the stochastic method smaller 0.0079 than the portfolio return formed by the single index method of 0.0173 which means that the single index method is more optimal than the stochastic method.

scholarly journals Studi Komparatif Pembentukan Portofolio Optimal Dengan Stochastic Dominance dan Single Index Model

2019 ◽  
Vol 1 (1) ◽  
pp. 1-12
Author(s):  
Yuni Utami
Keyword(s):  
Stochastic Model ◽  
Stochastic Dominance ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Index Method ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Return

Purpose- The study aims to see whether there is a difference between the stochastic dominance method and the single index method in forming an optimal portfolio. and seeing which method is more optimal. Methods- The sample used in the study was a real estate and property company listed on jakarta stock exchange for five years period (2013 - 2017). sampling technique in research using purposive sampling and analysis sampling techniques using average difference test (t-test). after being tested with each method both the stochastic model and the single index model, Finding- The results show that there is a difference in return from the formation of an optimal portfolio with the results of the test which results in 0.048 below the significant level of 0.05. and the results of the calculation of portfolio return formed by the stochastic method is 0.0079 smaller than the portfolio return formed by the single index method of 0.0173 which means that the single index method is more optimal than the stochastic model.

scholarly journals PENGGUNAAN MODEL INDEKS TUNGGAL DALAM MENILAI RESIKO DAN RETURN SAHAM UNTUK PILIHAN BERINVESTASI

2018 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Anny Widiasmara ◽  
Putri Widyasari
Keyword(s):  
Optimal Portfolio ◽  
Quantitative Approach ◽  
Minimal Risk ◽  
Portfolio Investment ◽  
Risk And Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Return

<p><strong>ABSTRACT</strong></p><p><strong></strong><br />The purpose of this study was to assess the risk and return stock that could be an option to invest by using single index model Compass 100 on the IDX in 2010-2014. This type of research used in this research is descriptive quantitative approach. Samples taken as many as 44 companies of the index Compass 100. The results showed that of the 44 samples selected companies, there were 13 companies that have an optimal return and minimal risk to the proportion of each stock: UNVR of 0.2372039%, ANTM of 0.0057649% , BMTR of 0.14997799%, GGRM of 0.1226567%, MNCN of 0.1571756%, JSMR of 0.2749157%, KLBF of 0.0493033%, CPIN at 98.771899%, CTRA of 0.1009368%, GJTL of 0.0607808%, MEDC of 0.0209188%, KIJA of 0.0253161%, LPKR 0.0231518%. Based on the portfolio has been formed on the calculation of portfolio return of 4.74% and the risk of a portfolio of 0.0019683%.</p><p><br /><strong>Keywords : Singe Index Model, Optimal Portfolio, Investment Options</strong></p>

scholarly journals PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS IDX30 DI BEI

2019 ◽  
Vol 8 (6) ◽  
pp. 3814
Author(s):  
Nyoman Candra Tri Wahyuni ◽  
Ni Putu Ayu Darmayanti
Keyword(s):  
Optimal Portfolio ◽  
Risk Level ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment ◽  
Portfolio Return

Stocks are included in determination of the optimal portfolio along with the proportion of each stock and to know how much portfolio return and risk investors will get in the future. The study was conducted on the IDX30 Index on the IDX for the period August 2016 - January 2018. The population of this study used shares that were incorporated in IDX30 Index with sample used was 25 IDX30 Index stocks during the study period. The study uses the optimal portfolio model, namely the Single Index Model The results of the study show that from 25 stocks there are 8 stocks that can form an optimal portfolio with their respective proportions, consisting shares of ADRO, BBC, BBNI, BBRI, BMRI, GGRM, PWON, and UNTR. These shares provide a portfolio expected return of 3.25 percent with a portfolio risk level of 0.07 percent. Keywords: Stock Investment, Return, Risk, Optimal Portfolio, Single Index Model

scholarly journals Analysis of Optimal Portfolio Formation Using a Single Index Model as a Basis for Investment Decision Making [Study on the Jakarta Islamic Index (JII) 2015-2017]

2021 ◽  
Vol 9 ◽  
Author(s):  
Ayun Niyawati ◽  
Wisnu Panggah Setiyono
Keyword(s):  
Investment Decision ◽  
Optimal Portfolio ◽  
Portfolio Risk ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Investment Decision Making ◽  
Analysis Technique ◽  
Quantitative Descriptive ◽  
Portfolio Return

The aim of this research is to know the performance ofstocks that become the member ofJakarta Islamic Index  (JII) and determine what stocks are part of the optimal portfolio.  This research is a quantitative descriptive study.  The  technique  of taking samples  is  using purpose  sampling  techniques,  with  determined  criteria.  The population  needed in this study  is  42 stocks.  After doing the sampling purposes,  the sample  is  20 stocks.  The analysis  technique used is  the Single Index Model.  The results of this study reveal that there are 5 stocks which eligible to become optimal portfolio members.  These shares are UNTR, AKRA,  UNVR,  TLKM, and ADRO.  Then the proportion offunds in each consecutive share is 31.58%,  15.18%, 28.02%, 17.7% and 7.52%.  While the portfolio of the portfolio formed (expected portfolio return) is 0. 0203 or 2. 03% with portfolio risk of0. 0006 or 0. 06%.

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

2019 ◽  
Vol 6 (02) ◽  
Author(s):  
Rony Mahendra ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Wall Street Journal ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Wall Street ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Indices ◽  
The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Kasus pada Saham IDX30)

2021 ◽  
Vol 10 (2) ◽  
pp. 269-278
Author(s):  
Eis Kartika Dewi ◽  
Dwi Ispriyanti ◽  
Agus Rusgiyono
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Market Price ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Share Price ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment

Stock investment is a commitment to a number of funds in marketable securities which shows proof of ownership of a company with the aim of obtaining profits in the future. For obtaining optimal returns from stock investments, investors are expected to form optimal portfolios. The optimal portfolio formation using the Single Index Model is based on the observation that a stock fluctuates in the direction of the market price. It shows that most stocks tend to experience price increases if the market share price rises, and vice versa. Selection of optimal portfolio-forming stocks on IDX30 using the Single Index Model method produces 4 stocks, that are BRPT (Barito Pacific Tbk.) with weight 31.134%, ICBP (Indofood CBP Sukses Makmur Tbk.) 17.138%, BBCA (Bank Central Asia Tbk.) 51.331% and SMGR (Semen Indonesia (Persero) Tbk.) 0.397%. Every investment must have a risk, for that investors need to calculate the possible risks that occur before investing. To calculate risk, Expected Shortfall (ES) is used as a measure of risk that is better than Value at Risk (VaR) because ES fulfill the subadditivity. At the 95% confidence level, the ES value is 23.063% while the VaR value is 10.829%. This means that the biggest possible risk that an optimal portfolio investor will receive using the Single Index Model for the next five weeks is 23.063%.Keywords : Portfolio, Single Index Model, Expected Shortfall, Value at Risk.

scholarly journals VOLATILITY SHOCK PERSISTENCE IN INVESTMENT DECISION MAKING: A COMPARISON BETWEEN THE CONSUMER GOODS AND PROPERTY-REAL ESTATE SECTORS OF THE INDONESIAN CAPITAL MARKET

2018 ◽  
Vol 33 (2) ◽  
pp. 112
Author(s):  
Ari Christianti
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Consumer Goods ◽  
Investment Decision ◽  
Large Population ◽  
Conditional Heteroscedasticity ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Autoregressive Conditional Heteroscedasticity

Research about volatility shock persistence is very important, since it could reflect the risks that can be used to estimate the fluctuations of stock returns in the future. This paper investigates a comparison of the volatility shock persistence sectoral indexes between the consumer goods (CONS) and property-real estate (PROP) sectors, using a single index model analyzed using GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and I-GARCH (Integrated-Generalized Autoregressive Conditional Heteroscedasticity). By using index return data from January 2010-December 2015, the research shows that CONS and PROP tend to produce the same results. The CONS and PROP indexes’ responses to volatility shocks tended to be quite fast. Hence, the single index model of the CONS and the PROP indexes can quickly return to its normal stability. It means that, in the presence of certain information which could affect the volatility of the return from these sectors, the market will respond and adapt immediately. This might be attributed to the fact that CONS is a sector that involves fast moving products. Furthermore, the PROP sector has an indirect effect by increasing the real sectoral economic activity and economic growth in Indonesia, which has a large population. Thus, it is recommended that investors who are risk averse and risk neutral should invest in these sectors, because the volatility of both indexes can be monitored based on the existing information.

scholarly journals Perbandingan Kinerja Portofolio yang Dibentuk dengan Single Index Model pada Saham-Saham yang Terdaftar dalam Indeks LQ45 dan Kompas 100 Tahun 2018

2020 ◽  
Vol 12 (1) ◽  
pp. 73-83
Author(s):  
Dini Iskandar ◽  
Martalena Martalena ◽  
Natasha Desiree Julianto
Keyword(s):  
High Risk ◽  
Optimal Portfolio ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
High Return ◽  
Better Than

Stocks as an investment instrument that categorized as a high risk dan high return instrument. Therefore, investors should distributed their invesment funds in a number of shares by forming an optimal portfolio where the highest return is obtain at a certain risk or the lowest risk at certain return. On this study the portfolio forming used the Single Index Model. Portfolio formed from stocks at LQ 45 Index and Kompas 100 Index by aim to get the comparison of their performance.The result of this study indicate that LQ 45 portfolio that containing PTBA, ICBP, BBCA, PGAS and ANTM has a lower return than Kompas 100 portfolio that containing KREN,CPIN, PTBA and JFPA. The performance of both portfolio that analyze by Sharpe Index, Treynor Index and Jensen Index indicate that portfolio of Kompas 100 better than portfolio of LQ 45 , however both of them showed the good performance because their result are positif that mean better than market. Keywords: Portfolio, Single Index Model, Sharpe Index, Treynor Index, Jensen Index.

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