Analisis Portofolio Optimal Saham Syariah Menggunakan Multi Index Models (Periode: 04 Januari 2010 – 1 Juli 2013)
The portfolio is a combination or aggregation of two or more individual stock and concern for investors is to form the optimum portfolio and one of the ways that can be used are Multi-Index Models (MIM). This Model is a development of the Single Index Models (SIM), if on a SIM only consider one fact...
| Main Authors: | , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Universitas Islam Negeri Sunan Kalijaga Yogyakarta
2013-10-01
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| Series: | Jurnal Fourier |
| Online Access: | http://fourier.or.id/index.php/FOURIER/article/view/23 |
| Summary: | The portfolio is a combination or aggregation of two or more individual stock and concern for investors is to form the optimum portfolio and one of the ways that can be used are Multi-Index Models (MIM). This Model is a development of the Single Index Models (SIM), if on a SIM only consider one factor that affects the value of the stock, then return at MIM considers more than one factor. This study discusses the optimal portfolio analysis using Multi-Index Models with a case study on the stock of the Sharia Jakarta Islamic Index (JII) period 4 January 2010 – 1 July 2013 by using composite stock price index (IHSG), index Dow Jones Industrial Average (DJIA) and index the Hang Seng Index as a factor in MIM. The results of this research were obtained that the optimum portfolio is a portfolio that was created based on the stocks that had the highest positive return value, i.e. UNVR 41,40%, SMGR 40.66%, KLBF 11.01, and LPKR 6,93% with a value of expected return portfolio amounted to 2.55% and risk of a portfolio of 0,29%. |
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| ISSN: | 2252-763X 2541-5239 |