DIVERSIFIKASI SAHAM DENGAN MODEL MARKOWITZ SEBAGAI DASAR PENETAPAN PORTOFOLIO OPTIMUM (Studi kasus pada Sektor Perbankan di Bursa Efek Indonesia)
Rational investors will invest their funds in stocks efficiently, which stocks that have a high returnwith minimal risk. It case may be to combine the two assets into the optimal shares. The sample in thisstudy using the active stocks in the Indonesia Stock Exchange. The objective of this research is todiversify the stock in the banking sector to establish a optimum portfolio of Markowitz’s model.The results showed there where 15 stocks that become candidates portfolio of 30 stocks studiedby method of analysis of Markowitz. Their conclusion is that a rasional investor would invest fund intothe optimal portfolio. The satisfaction of investor in invest their funds to the optimal portfolio which is thefirst factor in an optimal portfolio to get the optimal, so the highest utility is from 5 stock in a bankingsector and there are Bank Mayapada Tbk. which has a utility of 73,38%, Bank Rakyat Indonesia Tbk.which has a utility of 36,31%, Bank Central Asia Tbk. which has a utility of 36,56%, Bank CapitalIndonesia Tbk. which a utillity of 30,86%, Bank Tabungan Pensiun Nasional Tbk. which has a utility of32,59%. Shares of the stock price file obtained from a one year study period in 2011.from the results ofresearch conducted it can be concluded that there are significant differences between the utility of 5 stockfrom the 30 stock of list in a banking sector. So the optimal portfolio in this study is formed by stocks thathave the highest return at a relatively high level of risk.The differences between risk and return is the coeficient varian of the 5 stock suggest fromthehighest utility, so the result is the little coeficient varian to get the optimal return as a compare betweenrisk will accept. And Bank Central Asia Tbk. which has a coeficient varian of 171,22%, with returnshares of 37,11%, and varian share of 0,33%, which has a expectation of varian shares of 5,77%.Keyword: Stock Diversification, Markowitz model, Optimum Portfolio