Pembentukan Portofolio Optimal dengan Model Markowtz dan Two-Fund Theorem pada Saham LQ-45 di Bursa Efek Indonesia

Febriani Febriani - Universitas Negeri Padang
Media Rosha - Universitas Negeri Padang

Abstract


bstract — Inflation is an increase in the level prices continually. The impact of inflation can be
overcome by investing capital or resources carried in an asset with the expectation of obtaining profits in the future which is called investment. Portfolio is a set of several assets to reduce of risk. One of the way to form an optimal portfolio is Markowitz Model using Two-Fund Theorem that can present a portfolio of the smallest risk according to investor preferences. The purpose of this research is to determine the composition of optimal portfolio and proportion of fund from each stock in optimal portfolio.This research used secondary which is consist of 42 samples in LQ-45 during February-July 2019. The result of analysis 42 samples there are 7 stock to form an optimal portfolio with the proportion of them. They are BBRI 43.91%, BRPT 24.08%, EXCL 14.75%, INTP 0.35%, JSMR 8.75%, MNCN 3.57%, WIKA 4.59%.

Keywords — optimal portfolio, markowitz model, two-fund theorem.


Full Text:

PDF

References


Ahmad, Kamaruddin. 1996. Dasar-Dasar Manajemen Investasi.

Jakarta: PT Rineka Cipta.

Suseno dan Astiyah. 2009. Inflasi. Jakarta: PPSK BI.

Afdal dan Rosha, Media. 2019, Analisis Portofolio Optimal

Menggunakan Model Indeks Tunggal pada Saham Indeks IDX30

Periode Agustus 2017-Juli 2018, UNP Journal Of Mathematic,

(1), 977 235516589.

Febriani dan Rosha, Media, Pembentukan Portofolio Optimal

dengan Model Markowitz dan Two-Fund Theorem pada Saham

LQ-45 di Bursa Efek Indonesia, skripsi , Universitas Negeri

Padang, Padang, 2020

Mahayani, Mega dam Suarjaya, Gede. 2019, Penentuan

Portofolio Optimal Berdasarkan Model Markowitz Pada

Perusahaan Infrastruktur di Bursa Efek Indonesia, Jurnal

Manajemen, 8(5), 3057-3085, doi:10.24843/EJMUNUD.2019.v08.i05.p17.

Ahmar, Ansari Saleh dan Arifin, Andi Mangkawani. 2014,

Optimizing Risk of Trading Stocks Using Markowitz Portfolio (A

Case Study of Several Stocks In Indonesia), Departement of

Statistics.

Chandra, Liliana dan Hapsari, Yudith Dyah. 2013, Analasis

Pembentukan Portofolio Optimal dengan Menggunakan Model

Markowitz untuk Saham LQ-45 Periode 2008-2012, Jurnal

Manajemen, 1(1), 41-64.

David, GL. 1998 Investment Science. Oxford.: Oxford University.




DOI: http://dx.doi.org/10.24036/unpjomath.v5i4.11095