Formation of Optimum Portfolio Using Single Index Model (Case Study of Stock LQ 45 Period 2016 - 2019)

Authors

  • Reva Yuliani Widyatama University, Bandung, Indonesia Author
  • Deden Sutisna Widyatama University, Bandung, Indonesia Author
  • Desy Oktaviani Widyatama University, Bandung, Indonesia Author
  • Gita Genia Fatihat Widyatama University, Bandung, Indonesia Author
  • Oliver Hasan Padmanegara Widyatama University, Bandung, Indonesia Author

DOI:

https://doi.org/10.61841/0mmk4h21

Keywords:

Portfolio, LQ45, Single Index Model

Abstract

Investment is the investment of a number of funds or goods that are expected to provide more results in the future. The purpose of this study is to determine the optimal portfolio with its composition. The method used is the Single Index Model method, and the data used in this study are quantitative data. Based on the results of this study, it can be concluded that the optimal portfolio produced 3 optimal shares of 31 shares that were sampled in this study, including ANTM 22%, SRIL 36%, and INCO 42%, with expected portfolio returns of 0.0546 and a portfolio standard deviation level of 0,1563. 

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References

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Published

30.04.2020

Issue

Vol. 24 No. 2 (2020): 24 (2) 2020

Section

Articles

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Copyright (c) 2020 AUTHOR

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How to Cite

Yuliani, R., Sutisna, D., Oktaviani, D., Genia Fatihat, G., & Hasan Padmanegara, O. (2020). Formation of Optimum Portfolio Using Single Index Model (Case Study of Stock LQ 45 Period 2016 - 2019). International Journal of Psychosocial Rehabilitation, 24(2), 3049-3055. https://doi.org/10.61841/0mmk4h21