Optimal portfolio analysis using single index Model in the lq-45 index in indonesia stock Exchange

Syamni, Ghazali and Muntasir, Al (2013) Optimal portfolio analysis using single index Model in the lq-45 index in indonesia stock Exchange. In: International Conference, 29-30 Agustus 2013, UNISBANK, Semarang.

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Abstract

This research’s to analisys the optimal portfolio using a single index model.Samples were stocks that go continuously in the LQ-45 index during the period February 2010 - January 2013, the 29 stocks that constitute the optimal portfolio candidates. Descriptive data were analisys using a single index model with stock closing price as a proxy for stock return and risk, the LQ-45 index as a benchmark, and BI rate as a measure of the risk free. Of the 29 stocks included in continuously in the LQ-45 index, which gained 8 shares entitled to be a candidate optimal portfolio, because these stocks have a value of ERBi > Ci. The optimal portfolio expected return promised by 0,022 (2.2%) and the risk of 0.017 (1.7%) per month. Eighth these shares, the stock of PT. Indocement Tunggal Prakarsa, Tbk with a fund proportion of 15.44%, the stock of PT. Bank Negara Indonesia (Persero), Tbk amounting to 12.22%, the stock of PT. Bakrieland Development, Tbk amounting to 3.86%, stock of PT. Bank Central Asia, Tbk amounting to 21.34%, stock of PT. Kalbe Farma, Tbk amounting to 12.09%, stock of PT. Lippo Karawachi, Tbk amounting to 7.92%, stock of PT. Unilever Indonesia, Tbk amounting to 17.13%, and stock of PT. Gudang Garam, Tbk amounting to 9.99%. Keywords : Optimal Portfolio, Single Index Model, Stock, LQ-45

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