PEMBENTUKAN PORTOFOLIO SAHAM OPTIMAL JAKARTA ISLAMIC INDEX MENGGUNAKAN MODEL INDEKS TUNGGAL SERTA PENGUKURAN VALUE AT RISK

RIZKI, SYAIRA NURUL and Andriani, Yuli and Sukanda, Dian Cahyawati (2021) PEMBENTUKAN PORTOFOLIO SAHAM OPTIMAL JAKARTA ISLAMIC INDEX MENGGUNAKAN MODEL INDEKS TUNGGAL SERTA PENGUKURAN VALUE AT RISK. Undergraduate thesis, Sriwijaya University.

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Abstract

The Single Index Model is a method used to measure the value of return and risk of stocks portfolio with the assumption that return of stock fluctuate in the direction of return of market. The application of Single Index Model can be done to form an optimal stock portfolio with the hope of obtaining maximum return and minimal risk. The purpose of this research is to form an optimal stock portfolio using the Single Index Method and to measure the Value at Risk. The data used in this study are closed stock’s price from 22 stocks that remain in the Jakarta Islamic Index (JII) period January 2020 - December 2020. Stocks that deserve to be included in the optimal stock portfolio are stocks that have value ERB ≥C^*. The ERB value is the difference between the expected return and the risk-free return on assets, and C* as the cut off point used to determine whether a stock can be included in an optimal portfolio or not. The results of this study indicate that out of 22 stocks, three stocks are eligible for entry into the optimal stock portfolio. These stocks are stock of PT Aneka Tambang Tbk. (ANTM), stock of PT Vale Indonesia Tbk. (INCO), and stock of PT Surya Citra Media Tbk. (SCMA). The optimal stock portfolio that has been formed provides an expected return of 0.279% per day, with a risk level of 0.108% per day. Based on the calculation of the VaR value, if investors invest their funds in the optimal stock portfolio that has been formed of IDR 100,000,000, then with a 95% confidence level investors will not experience losses of more than IDR 29,645,947.48 after one month of investing. Keywords: Single Index Model, Optimal Portfolio, Jakarta Islamic Index.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Single Index Model, Optimal Portfolio, Jakarta Islamic Index
Subjects:	Q Science > QA Mathematics > QA1-43 General
Divisions:	08-Faculty of Mathematics and Natural Science > 44201-Mathematics (S1)
Depositing User:	Syaira Nurul Rizki
Date Deposited:	04 Aug 2021 08:24
Last Modified:	04 Aug 2021 08:24
URI:	http://repository.unsri.ac.id/id/eprint/51283

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