ANALISIS PEMBENTUKAN PORTOFO OPTIMAL DENGAN MENGGUNAKAN MODEL MARKOWITZ UNTUK SAHAM LQ 45 PERIODE 2008‐‐2012
DOI:
https://doi.org/10.25170/jm.v11i1.832Kata Kunci:
MarkowitzAbstrak
The shares which are included in the LQ45 list attract investors., Make a portfolio diversification is necessary to minimize unsystematic risk. In this paper the authors wanted to construct an optimal portfolio in accordance with the theory of Markowitz.
The data are taken from the yahoo.finance monthly data for stocks that are respectively included in LQ45 consistently in the period 2008 to 2012.. In establishing the optimal portfolio, the author uses the Linear Solver Microsoft Programming in Excel.Program.
To determine the optimal portfolio, 17 shares which consistent listed in LQ45 in the period 2008 to 2012quired.. The Author formed 14 portfolios from the 14 stocks which have positive return. Portfolio Ewhich has the highest risk adjusted return (RAR) is selected as the optimal portfolio.
Referensi
Bodie, Z., Kane, A., & Marcus, A.J. (2008).Essentials of investment (7thed.). London: McGraw-Hill. Bodie, Z., Kane, A., & Marcus, A.J. (1995).Essentials of investment (2nded.). London: McGraw-Hill; p.3.
Durianto, Darmadi, Sugiarto, dan Toni Sitinjak. (2001). Strategi Menaklukan Pasar : Melalui Riset Ekuitas dan Perilaku Merek. Jakarta: PT Gramedia Pustaka Utama.
Eko, Umanto. (2008). Analisis dan Penilaian Kinerja Portofolio Optimal Saham-Saham LQ-45.Bisnis dan Birokrasi, Jurnal Ilmu Administrasi dan Organisasi, FISIP Universitas Indonesia; p.178-187.
Francis, Jack. (1991). Investment :Analysis and management (5th ed.). Singapore : Mc.Graw Hill Inc; p.1.
Husnan, Suad (2002). Dasar-dasar Teori Portofolio dan Analisis Sekuritas edisi ketiga, p.200.Yogyakarta.Unit Penerbit dan Percetakan AMP YKPN.
Jogiyanto.(2003). Analisis Investasi dan Teori Portofolio, Yogyakarta: Gajah Mada Press.
K.Reilly, Frank; C.Brown, Keith. (2003). Investment Analysis & Portfolio Management (7thed.). Thomson Learning; p.211.
K.Reilly, Frank; C.Brown, Keith.(2003). Investment Analysis & Portfolio Management (7thed.).US : Thomson South-Western Inc; p.211.
Mandal, Niranjan. (2013). Sharpe’s Single Index Model and Its Application to Construct Optimal Portfolio : An Empirical Study. Great Lakes Herald, Vol.7, No.1.
Markowitz, Harry. (1952). Portfolio Selection.The Journal of Finance, Vol.7, No.1; pp. 77-91.
Marsalina, Finanda. (2009). Identifikasi Kemampuan Selectivity dan Market Timing Pada Reksa Dana Saham di Indonesia.Skripsi. Fakultas Ekonomi. Universitas Indonesia.
Nancy, M.Szigethy. (2012). Investment Bulletin for Endowment and Foundation Community.The NMS Exchange.
Ni Wayan, Y.I ; Ni Putu, A.D. (2013). Penentuan Portofolio Optimal dengan Model Markowitz pada Saham Perbankan di Bursa Efek Indonesia. Bali, Indonesia.
Priyo.P, Eko; Nugraha, Ubaidillah; Arlina, Ariefa (2001). Reksa dana: Solusi Perencanaan Investasi di Era Modern. Capital Investment, p.300. Gramedia Pustaka Utama.
Savabi, Farhad ; Hamid, S. ; and Bijan, B. (2012). Generalization and Combination of Markowitz – Sharpe’s Theories and New Efficient Frontier Algorithm.African Journal of Business Management Vol. 6(18); pp.5844-5851.
Saadah, S., Uyanto, S.S., Suhartoko, Y.B., Wijayanti, S.H., Faliany, J., & Efendi.(2012). Pedoman penulisan skripsi. Jakarta: Penerbit Universitas Katolik Indonesia Atma Jaya.
Supriyadi, Marwan, Ambo Sakka Hadmar. (2009). Analisis Pembentukan Portofolio yang Efisien pada Perusahaan Industri Tobacco Manufacturers dengan Model Markowitz.Skripsi. Fakultas Ekonomi, Universitas Gunadarma.
Suqaier, Faten Shukri, Hussein Ali Al Ziyud. (2011). The Effect of Diversification on Achieving Optimal Portfolio.European Journal of Economics Finance, and Administration Sciences, (32).
Tandelilin, Eduardus. (2010). Portofolio dan Investasi.Teori dan Aplikasi. Edisi Pertama. Yogyakarta:Kanisius.
Ticoh, Janne Deivy. (2010). Optimalisasi Portofolio Proyek dengan Menggunakan Kurva Efisien Markowitz. Ed Vokasi, Jurnal Pendidikan Teknologi dan Kejuruan, p: 36-57.
Wang, Zhen; Gao, Shuling. (2013). Multi-Period Optimal Portfolio Decision with Transaction Costs and HARA Utility Function.IJCSI International Journal of Computer Science Issues, Vol.10; 1694- 0784.
http://www.bankmandiri.co.id
http://www.bi.go.id http://www.britama.com
http://www.forbes.com http://www.idx.co.id
http://www.yahoo.finance.com
Unduhan
Diterbitkan
Terbitan
Bagian
Lisensi
Authors who publish with this journal agree to the following terms:
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial-ShareAlike License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See the Effect of Open Access).
