Analisis Portofolio Optimal  Saham Indeks Lq-45 Dengan Model Indeks Tunggal Di Bursa Efek Indonesia

Rational investors invest in efficient stocks, the stocks that have high return with minimum risk. The sample in this study using the stocks in the group LQ-45 index during the period February 2013-July 2013. The purpose of the study was to establish the optimal portfolio and to know the difference between stock returns and the risk of candidate and non-candidate portfolirn On Equity (ROE).The results showed there were 15 stocks that become candidate in a portfolio out of 45 stocks studied with the cut of point value -2.7-7. Optimal portfolio is formed by 15 stocks that have excess returns to beta (ERB) which is greater than the risk-free return (Rf).The largest proportion of funds owned by PT Kalbe FarmaTbk i.e 16,2 %, and the smallest proportion of the funds owned by PT Bank Central Asia Tbk i.e 0,1101288%. Rational investor would prioritize to invest in securities that have a the largest proportion of the funds, because of that large proportion of funds so we will be getting higher profit with the certain risks as well.Investors that will invest theirs funds into these 15 companies that have formes this optimal portfolio would get portfolio profit 2,1-7 and portfolio risk -2.7-7. That portfolio profit is not far different with the expected return of each individual stock. So despite using LQ-45 stocks that have the biggest marketing capitalization and the most liquid infact it has not guarante that investors would gain their expectation of getting portfolio return as what they expected.Risk portfolio of 2,1-7 is smaller than the risk level of each individual stock . Although the establishment of the optimal portfolio yield expected return of portfolio which is not much different with thereturn of individual stock,but still provide the benefit of diversification that is beneficial for reducing the risk of each individual stock

Download Full-text

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

E-Jurnal Manajemen Universitas Udayana ◽

10.24843/ejmunud.2019.v08.i06.p19 ◽

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

Download Full-text

ANALISIS EFISIENSI PENENTUAN PORTOFOLIO SAHAM PERUSAHAAN MANUFAKTUR DI PT. BURSA EFEK INDONESIA (BEI)

Jurnal Manajemen dan Bisnis ◽

10.54367/jmb.v12i2.58 ◽

2017 ◽

pp. 38-56

Author(s):

Jonner Pangaribuan

Keyword(s):

Stock Returns ◽

Stock Price ◽

Stock Exchange ◽

Efficient Frontier ◽

Positive Influence ◽

Optimal Portfolio ◽

Manufacturing Companies ◽

Technical Documentation ◽

Expected Return ◽

Portfolio Return

companies, as well as the influence of optimal portfolios and efficient manufacturing companies on stock returns in IDX. Benefits gained for investors itself is as an input to invest in stocks is optimal. The population in this study are all companies listed on the Stock Exchange, and the samples used are as many as 152 shares of manufacturing companies are divided into two portfolios based on market capitalization and value of corporate assets. Data collection techniques used by technical documentation, that the financial statements of companies that have previously run for two years ie from 2002 to 2003 observations. The data analysis technique used is multiple linear regression. Based on the results of the regression can be concluded that the higher the premium market significantly increases the risk of a stock portfolio of manufacturing companies. Regression coefficient for the independent variable on the dependent variable ERM portfolio return has a positive influence on the company. From the observations made, the optimal portfolio is the portfolio to be done based on the value of assets, particularly as it offers a great asset portfolio return of 55 percent with a 100 percent risk. Obviously the determination of the optimal portfolio for an investor to do and are applied in the efficient frontier curve is in accordance with the preferences of the investor returns and are willing to bear the risk. Therefore, investors should consider the investment shares of SBI level, analyzing the stock price and the expected return on a portfolio that is offered, as well as selecting a portfolio of shares in accordance with the preferences of the investor.

Download Full-text

ANALISIS PORTOFOLIO INVESTASI PADA SAHAM LQ45 DENGAN METODE MEAN VARIAN SATU KONSTRAIN

Jurnal Varian ◽

10.30812/varian.v1i2.68 ◽

2018 ◽

Vol 1 (2) ◽

pp. 22-29

Author(s):

Gilang Primajati

Keyword(s):

Capital Markets ◽

Minimum Variance ◽

Return Rate ◽

Optimal Portfolio ◽

Portfolio Diversification ◽

Portfolio Risk ◽

Expected Return ◽

Positive Weight ◽

The Mean

In the capital markets, especially the investment market, the establishment of a portfolio is something that must be understood by investors. Portfolio formation by investors to maximize profits as much as possible by minimizing the risk of losses that may occur. Portfolio diversification is defined as portfolio formation in such a way that it can reduce portfolio risk without sacrificing returns. Optimal portfolio with efficient-portfolio mean criteria, investors only invest in risk assets only. Investors do not include risk free assets in their portfolios. The efficient variance portfolio is defined as a portfolio that has minimum variance among the overall possible portfolio that can be formed, at the same expected return rate. The mean method of one constraint variant can be used as the basis for optimal portfolio determination. The shares of LQ-45 used are shares of AALI, BBCA, UNVR, TLKM and ADHI. AALI shares received a positive weight of 7%, BBCA 48%, UNVR 16%, TLKM 26% and ADHI 3%

Download Full-text

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

JEM17: Jurnal Ekonomi Manajemen ◽

10.30996/jem17.v4i2.3023 ◽

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.

Download Full-text

ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR DI BEI

IQTISHODUNA ◽

10.18860/iq.v0i0.2282 ◽

2013 ◽

Author(s):

Sri Yati

Keyword(s):

Stock Market ◽

Stock Returns ◽

Analytical Method ◽

Stock Exchange ◽

Investment Decisions ◽

Portfolio Analysis ◽

Rate Of Return ◽

Expected Returns ◽

Risk Level ◽

Expected Return

This study aims to analyze rate of return and risk as the tools to form the portfolio analysis on 15 the most actives stocks listed in Indonesian Stock Exchange. Descriptive analytical method is used to describe the correlation between three variables: stock returns, expected returns of stock market, and beta in order to measure the risk of stocks to help the investors in making the investment decisions. The research materials are 15 the most actives stocks listed in Indonesian Stock Exchange during 2008-2009. The results show that PT. Astra International Tbk. has the highest average expected return of individual stock (Ri) of 308,3355685, while PT. Perusahaan Gas Negara Tbk. has the lowest of -477,0827847. The average expected return of stock market (Rm) is 0,00247163. PT. Astra International Tbk. has the highest systematic risk level of 20229,14205, while the lowest of -147,5793279 is PT. Kalbe Farma Tbk. Furthermore, the results also indicate that there are 9 stocks can be combined to form optimal portfolio because they have positive expected returns.

Download Full-text

Optimization of Stock Portfolio Using the Markowitz Model in the Era of the COVID-19 Pandemic

TIJAB (The International Journal of Applied Business) ◽

10.20473/tijab.v5.i1.2021.37-50 ◽

2021 ◽

Vol 5 (1) ◽

pp. 37

Author(s):

Aisha Hanif ◽

Nur Ravita Hanun ◽

Rizki Eka Febriansah

Keyword(s):

Standard Deviation ◽

Capital Market ◽

Financial Literacy ◽

Optimal Portfolio ◽

Expected Return ◽

Markowitz Model ◽

Analysis Technique ◽

High Return ◽

Available Information ◽

Stock Portfolio

Stocks are one of the popular investment instruments traded in the capital market. The popularity of stock purchase has developed along with the massive financial literacy movement. However, the massiveness of this movement must be balanced with knowledge and expertise in managing stock instruments since they have a high return rate and high risk. One way to manage stocks is by developing an optimal stock portfolio based on the Markowitz model. The Markowitz model is a method that formulates the elements of return and risk in an investment, and specifically the elements of risk can be minimized through diversification and combination of various investment instruments into a portfolio. By using the Markowitz method, investors can take advantage of all available information as a basis for maximizing the portfolio. This study aimed to determine which stocks can form an optimal portfolio, especially in the era of the COVID 19 pandemic and the optimal proportion of the portfolio that is feasible to obtain from stocks listed in the LQ 45 Index. The study samples involved stocks listed in the LQ 45 Index. The data analysis technique applied in this study was portfolio optimization using the Markowitz model. The results of this study showed that the optimal portfolio consisted of BBCA with a weight of 78.09% and BRPT with a weight of 21.91% which produced an expected return of 2.35% and a standard deviation of 7.01%.

Download Full-text

PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION

E-Jurnal Matematika ◽

10.24843/mtk.2021.v10.i02.p322 ◽

2021 ◽

Vol 10 (2) ◽

pp. 65

Author(s):

NI KADEK NITA SILVANA SUYASA ◽

KOMANG DHARMAWAN ◽

KARTIKA SARI

Keyword(s):

Optimal Portfolio ◽

Stock Index ◽

Mean Absolute Deviation ◽

Portfolio Risk ◽

Investment Portfolio ◽

Expected Return ◽

Absolute Deviation ◽

Index Data ◽

The Mean ◽

Deviation Method

Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.

Download Full-text

Markowitz Model in The Analysis of Optimal Portfolio Establishment on Jakarta Islamic Index (JII) in Indonesian Stock Exchange

Archives of Business Research ◽

10.14738/abr.82.7854 ◽

2020 ◽

Vol 8 (2) ◽

pp. 190-201

Author(s):

Anwar Ramli ◽

Anwar ◽

Indah Lestari Anwar

Keyword(s):

Data Analysis ◽

Data Collection ◽

Sampling Method ◽

Stock Exchange ◽

Optimal Portfolio ◽

Portfolio Risk ◽

Expected Return ◽

Purposive Sampling ◽

Markowitz Model

This study aims to know the optimal portfolio establishment using Markowitz model on Jakarta Islamic Index (JII) stocks in the period of December 2013-May 2019. The population of this study consisted of the company stocks on Jakarta Islamic Index (JII) in the period of December 2013-May 2019, and there were 59 stocks. While the study sample consisted of 14 company stocks and selected based on purposive sampling method. Data collection used in this study using documentation. Data analysis used in this study using the stages of Markowitz model and started collecting the close price until an optimal portfolio establishment. The result of this study showed that there were 8 company stocks included in the optimal portfolio. Namely AKRA (5,01%), ICBP (9,92%), INDF (3,75%), SMGR (8,61%), TLKM (29,01%), UNTR (20,30%), UNVR (20,88%), WIKA (2,53%). The expected return of the portfolio of 0,84%. Therefore, portfolio risk of 3,16%and smaller than the risk of individual stocks in the research sample.

Download Full-text

Effective Portfolios – An Application of Multi-Criteria and Fuzzy Approach

Folia Oeconomica Stetinensia ◽

10.2478/foli-2019-0009 ◽

2019 ◽

Vol 19 (1) ◽

pp. 126-139

Author(s):

Ewa Pośpiech

Keyword(s):

Return Rate ◽

Risk Level ◽

Fuzzy Approach ◽

Portfolio Risk ◽

Expected Return ◽

Additional Information ◽

Net Profit ◽

The Given ◽

Initial Selection ◽

Selection Of

Abstract Research background: When selecting effective portfolios, the portfolio risk is minimized at the given expected return rate or the expected return rate is maximized with a given risk level. However, it is also worth using additional information, such as fundamental and market indicators to examine the companies’ economic and financial situation. Taking into account the chosen indicators, the initial selection of companies can be approached as a multi-criteria problem. Besides, the choice of the period from which data will be taken gives the opportunity to use non-standard tools. Purpose: The main aim of the article is to compare the profitability of effective portfolios obtained on the basis of a multi-criteria grouping of companies. Research methodology: In the study TOPSIS and FTOPSIS methods were used. Results: The results showed that the fuzzy approach could be an effective tool in obtaining more beneficial effective portfolios. Moreover, in the research, two sets of criteria differing by one indicator were used: in one of the approaches the P/E ratio was used, in the second the P/E ratio was replaced by the value of net profit per share – the analyses showed that the portfolios built on the basis of the groups for which the P/E ratio was used, had recorded better results. Novelty: The values of criterion evaluations from the considered years were treated as triangular fuzzy numbers – this enabled the use of the FTOPSIS method and a comparison of different approaches.

Download Full-text

Neutrosophic Portfolios of Financial Assets. Minimizing the Risk of Neutrosophic Portfolios

Mathematics ◽

10.3390/math7111046 ◽

2019 ◽

Vol 7 (11) ◽

pp. 1046 ◽

Cited By ~ 3

Author(s):

Marcel-Ioan Boloș ◽

Ioana-Alexandra Bradea ◽

Camelia Delcea

Keyword(s):

Complete Information ◽

Scientific Paper ◽

Individual Risk ◽

Financial Asset ◽

Financial Assets ◽

Portfolio Risk ◽

Minimum Risk ◽

The Individual ◽

Portfolio Structure ◽

Portfolio Return

This paper studies the problem of neutrosophic portfolios of financial assets as part of the modern portfolio theory. Neutrosophic portfolios comprise those categories of portfolios made up of financial assets for which the neutrosophic return, risk and covariance can be determined and which provide concomitant information regarding the probability of achieving the neutrosophic return, both at each financial asset and portfolio level and also information on the probability of manifestation of the neutrosophic risk. Neutrosophic portfolios are characterized by two fundamental performance indicators, namely: the neutrosophic portfolio return and the neutrosophic portfolio risk. Neutrosophic portfolio return is dependent on the weight of the financial assets in the total value of the portfolio but also on the specific neutrosophic return of each financial asset category that enters into the portfolio structure. The neutrosophic portfolio risk is dependent on the weight of the financial assets that enter the portfolio structure but also on the individual risk of each financial asset. Within this scientific paper was studied the minimum neutrosophic risk at the portfolio level, respectively, to establish what should be the weight that the financial assets must hold in the total value of the portfolio so that the risk is minimum. These financial assets weights, after calculations, were found to be dependent on the individual risk of each financial asset but also on the covariance between two financial assets that enter into the portfolio structure. The problem of the minimum risk that characterizes the neutrosophic portfolios is of interest for the financial market investors. Thus, the neutrosophic portfolios provide complete information about the probabilities of achieving the neutrosophic portfolio return but also of risk manifestation probability. In this context, the innovative character of the paper is determined by the use of the neutrosophic triangular fuzzy numbers and by the specific concepts of financial assets, in order to substantiating the decisions on the financial markets.

Download Full-text