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 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 Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange

2019 ◽  
Vol 16 (1) ◽  
pp. 60
Author(s):  
Imroz Mahmud
Keyword(s):  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Efficient Manner ◽  
Great Opportunity ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Industrial Sectors

This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.

scholarly journals ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR PADA BURSA EFEK INDONESIA (BEI) (Studi pengunaan Model Indeks Tunggal pada saham yang terdaftar di LQ45 Periode Februari 2014 s.d Juni 2015 )

2018 ◽  
Vol 2 (2) ◽  
Author(s):  
Erwin dyah Astawinetu ◽  
Lailatul Fitriyah
Keyword(s):  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Model Risk ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Rate

ABSTRACTThis study aims to determine the optimal shares listed on the Indonesia Stock Exchange  (IDX)  contained  in  LQ45  using the  method  of  single  index model.  This  research  is  a  descriptive  study,  the  method  used  is  quantitative method.  Samples were  taken at thirty-six  shares of the company from  LQ45 period February 2014 to June 2015. The samples were taken using purposive sampling technique. Results from this research that showed that out of thirty-six stock companies only two shares optimal namely PT. Gudang Garam Tbk. (GGRM) and PT. AKR Corporindo Tbk. (AKRA). With the proportion of funds PT. Gudang Garam Tbk. (GGRM) of 0.6624, while PT PT. AKR Corporindo Tbk. (AKRA)  of  0.3376.  In  addition  the  rate  of  return  from  the  formation  of  the portfolio is equal to 0.0084 at the risk of the portfolio amounted to 0.000017 smaller   than   market   risk   amounted   to   0.001404.   This   proves   that   the establishment of a portfolio would gain optimal benefit with certain risk. Keywords: Optimal Portfolio, Single Index Model, risk, rate of return.  

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.

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 PENGARUH PEMILIHAN INDEKS PASAR DALAM PEMBENTUKAN PORTOFOLIO MODEL INDEKS TUNGGAL

2020 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Ezra Putranda Setiawan
Keyword(s):  
Empirical Study ◽  
Standard Error ◽  
Stock Exchange ◽  
Optimization Method ◽  
Optimal Portfolio ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Market Index ◽  
Index Value

Portfolio is a type of investment consists of several assets, such as stocks. Single index model is a portfolio optimization method that uses the market index value to calculate beta as a measure of asset’s performance. However, there are several market index available in Indonesia Stock Exchange. In this study, we examine and compare the performance of several market index to the portfolio’s performance that calculated using Single-Index Model. We choose several stocks that used in several market index, obtain the return data, and obtain the beta using several market index. The calculation of the optimal portfolio were repeated using 15 sets of data to obtain consistency. Based on the empirical study, we obtain that the way to choose the market index could affect the estimated beta as well as its standard error. However, it has a very small effect on the weight and the performance of the optimal portfolio.

scholarly journals Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

2022 ◽  
Vol 10 (8) ◽  
pp. 188-199
Author(s):  
Yunan Najamuddin ◽  
Neni Meidawati ◽  
Nahar Savira Putri ◽  
Yuni Nustini ◽  
Muamar Nur Kholid
Keyword(s):  
Model Test ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Expected Return ◽  
Purposive Sampling ◽  
Index Model ◽  
Single Index Model

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.  

scholarly journals Analisis Pembentukan Portofolio Optimal dan Penentuan Nilai Risiko pada Saham Syariah

2021 ◽  
Vol 1 (2) ◽  
pp. 487-498
Author(s):  
Ajeng Defi Aprilia ◽  
Ade Ali Nurdin ◽  
Muhamad Umar Mai
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Moving Average ◽  
Optimal Portfolio ◽  
Single Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Weighted Moving Average

The purpose of this research is to determine the optimal portfolio formation in Islamic stocks on the Jakarta Islamic Index (JII) which is listed on the Indonesia Stock Exchange with a single model. Then measure the risk value that may occur and be accepted by investors using the Value at Risk (VaR) method with the Exponentially Weighted Moving Average (EWMA) approach. By using the Single Index Model, 5 stocks are selected and form an optimal portfolio, namely ASII, ICBP, TLKM, UNTR and UNVR.

Evaluasi Kinerja Portofolio Dengan Indeks Treynor Pada Portofolio Optimal Dan Portofolio Acak Di Bursa Efek Indonesia

2019 ◽  
Vol 21 (2) ◽  
pp. 116-124
Author(s):  
Jourdan Septiansyah Efflan
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Model Method ◽  
Single Index Model ◽  
Closing Price ◽  
Naïve Diversification ◽  
Research Period

This study aims to determine the composition of the optimal portfolio using a single index model, determine the composition of the random portfolio using naive diversification, then evaluate the performance of the portfolio formed using the Treynor index. This study uses monthly stock closing price data listed on the Indonesia Stock Exchange during the research period of August 2016 to July 2018. The optimal portfolio formed using a single index model consists of 40 shares, while a random portfolio consists of 10 shares. The results of the Treynor portfolio performance evaluation show that the optimal portfolio formed by the single index model method has better portfolio performance than the random portfolio.

scholarly journals Single Index Model Analysis for Optimum Portfolio in Pharmaceutical Companies Registered in Indonesia Stock Exchange

2021 ◽  
Vol 4 (2) ◽  
pp. 172-181
Author(s):  
Agus Parhan Saepul Anwar ◽  
Ana Yuliana Jazuni ◽  
Andy Juniarso
Keyword(s):  
Consumer Goods ◽  
Stock Exchange ◽  
Virus Disease ◽  
Optimal Portfolio ◽  
Pharmaceutical Companies ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Consumer Goods Industry

Investment is an interesting thing to analyze during the Corona Virus Disease (COVID-19) pandemic because at this time the economy is experiencing a decline so specifically for investors, they must consider the level of risk in their shares. The purpose of this study is to determine the condition of Consumer Goods Industry stocks with a concentration of pharmaceutical companies that can form an optimal portfolio and to determine the proportion of each selected stock and the level of return and risk of the resulting portfolio. The method that used is Single Index Model approach. The results of the analysis show that using the Single Index Model, Consumer Goods Industry stocks with a concentration of pharmaceutical companies from December 2016 to November 2020 can form an optimal portfolio consisting of SIDO with a proportion of 26.10%, PYFA with a proportion of 23 , 02%, DVLA with a proportion of 50.89% and a portfolio expected return of 5.79% and a risk of 6.95%

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