ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN FUNGSI LAGRANGE DALAM PENGAMBILAN KEPUTUSAN INVESTASI SAHAM

GRACIA, RO LASMA and Andriani, Yuli and Sukanda, Dian Cahyawati (2021) ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN FUNGSI LAGRANGE DALAM PENGAMBILAN KEPUTUSAN INVESTASI SAHAM. Undergraduate thesis, Sriwijaya University.

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Abstract

The Single Index Model is a model that is used to calculate the expected return of the portfolio and also the risk of the stock portfolio with the assumption that the level of return stockmoves in the same direction as the return market. The purpose of this study is to form and analyze the optimal portfolio using the Single Index Model, and determine the proportion of the optimal portfolio using the Lagrange function. The data used in this research is closing share price of a stock company that is stable in the LQ-45 index during the first quarter (October 2019-Desmber 2019), the second quarter (January 2020-March 2020), quarter III (April 2020-June 2020), and the fourth quarter (July 2020-September 2020). Stock analysis is carried out in each quarter so that the optimal portfolio results in the first quarter are shares of PT Bank Tabungan Pensiunan Nasional Syariah (BTPS) with a proportion of 34.44% and shares of PT Media Nusantara Citra Tbk (MNCN) with a proportion of 65.54%. In the second quarter, the optimal portfolio is shares of PT AKR Corporindo Tbk. (AKRA) with a proportion of 43.8% and shares of PT Media Nusantara Citra Tbk (MNCN) with a proportion of 56.2%. In the third quarter, the optimal portfolio is PT Kalbe Farma Tbk (KLBF) shares with a proportion of 51.8% and PT Sarana Menara Nusantara (TOWR) shares with a proportion of 48.2%. In the fourth quarter, the optimal portfolio is PT Erajaya Swasembeda Tbk (ERAA) shares with a proportion of 31% and shares of PT Indofood Sukses Makmur Tbk (INDF) with a proportion of 69%.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Model Indeks Tunggal, Portofolio Optimal, LQ-45
Subjects:	Q Science > QA Mathematics > QA273-280 Probabilities. Mathematical statistics
Divisions:	08-Faculty of Mathematics and Natural Science > 44201-Mathematics (S1)
Depositing User:	RO LASMA GRACIA
Date Deposited:	05 Aug 2021 02:53
Last Modified:	05 Aug 2021 02:53
URI:	http://repository.unsri.ac.id/id/eprint/51582

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