Herdiyana

Judul	:	PENENTUAN PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN SINGLE INDEX MODEL SEBAGAI ANALISIS SAHAM-SAHAM LQ45 (STUDI KASUS PADA BURSA EFEK JAKARTA)
Abstrak	:	In allocating fund or investment, an investor either as individual or institution always confronts return and risk. A rational investors will focus their attention to (1) highest return with certain risk or (2) certain risk with low risk. Both conditions represent the optimal investment. One way to reduce risk is by constructing portfolio, because by doing so, the risk can be diversified or spread among securities selected in the portfolio. The principle of  “don’t put your all eggs into one basket” is the basic idea of investors in practicing their investment. One of the model which can be used to determine or analyze securities in order to obtain the optimal portfolio is single index model. This research is aimed to learn, analyze and conclude: (1) determination of stocks in LQ45 which are selected to construct the optimal portfolio optimal by using single index model; (2) determination of fund allocation, calculate return and risk of optimal portfolio that will be earned by investor from selected stocks in optimal portfolio by using single index mode. The research concludes: (1) By using single index model procedure which are ERB ratio and cutoff rate, seven stocks are selected to construct the optimal portfolio which include AALI, INCO, CMNP, UNSP, LSIP, SMRA, and BNGA;  (2) The proportion of fund allocation for each stock are as follow: 28,27% in AALI, 16,43% in INCO, 12,04% in CMNP, 13,96% in UNSP, 10,80% in LSIP, 14,35% in SMRA and  4,16% in BNGA. Portfolio return earned by investors if they invested their fund in those seven stocks with the proportion as mentioned earlier is  41,29%. The possible risk that the investors can receive is measured by standard deviation of portfolio which is 1, 52.   Key words :        Single Index Model : Excess Return to Beta, Cutoff Rate, Portfolio Return and Risk..
Tahun	:	2009	Media Publikasi	:	Jurnal Nasional Blm Akreditasi
Kategori	:	Jurnal	No/Vol/Tahun	:	1 / 1 / 2009
ISSN/ISBN	:	1410-6132
PTN/S	:	-	Program Studi	:	MANAJEMEN
Bibliography	:	Buku   Ahmad, Komaruddin, 2004, Dasar-dasar Manajemen Investasi dan Portofolio, Edisi Revisi, PT. Rineka Cipta, Jakarta. Block, Stanly B. and Geoffrey A. Hort, 1997, Foudation of Financial Management, Fourth Edition, Richard D. Irwin Inc. Bringham E. F; Houston J.F., 2004. Fundamental of Financial Management. Ninth Edition Mc Graw-Hill Companies. United State of America (USA). Bodie, Zvi; Alex Kane and Alan J. Marcus, 2002, Investment, Fifth Edition, Mc Graw Hill Financial Series. Eales, Brian A., 1995, Financial Risk Management, Mc Graw Hill Book Co., Europe. Elton, Edwin J., and Martin J. Gruber, 2003, Modern Portfolio Theory and Investement Analysis, Sixth Edition, John & Wiley & Sons Inc. Fabozzi, Frank J., 1999, Manajemen Investasi, Salemba Empat, Jakarta. Fisher, Donald E. and Ronald J. Jordan, 1995, Security Analysis and Portfolio Management, Sixth Edition, Prentice Hall, New Jersey. Husnan, Suad, 1998, Dasar-dasar Teori Portofolio dan Analisa Sekuritas, Edisi Ketiga, UPP-AMP-YKPN, Yogyakarta. Husnan, Suad, 1996, Teori Portofolio dan Implikasi Bagi Manajemen Keuangan, Edisi Kedua, BPFE Yogyakarta, Yogyakarta. James C. Van Horn; Jhon M. Wacowicz, 2005, Fundamental of Financial Management, Prinsip-prinsip Manajemen Keuangan, Alih Bahasa Dewi Fitriasari dan Deny Arnos Kwary, Edisi 12, Salemba Empat, Jakarta. Kertonegoro, Sentanoe, 1995, Analisis dan Manajemen Investasi, PT. Widya Press, Jakarta. Manahan P. Tampubolon, 2005. Manajemen Keuangan (Finance Management). Ghalia Indonesia, Bogor. Reily, Frank K. and Keith C. Brown, 1997, Investment Analysis and Portfolio Management, Fifth Edition, The Dryden Press, Riyanto, Bambang, 1997, Dasar-dasar Pembelanjaan Perusahaan, Edisi 4, BPFE-Yogyakarta, Yogyakarta. Rico Lesmana dan Rudy Surjanto, 2004. Financial Performance Analyzing. PT Elex Media Komputindo Kelompok Gramedia, Jakarta. Sharpe, William F., Gordon J. Alexander and Jeffery V. Bailey, 1995, Investment, Fifth Edition, Prentice Hall, Englewood Cliffs, New Jersey 07632. Sofyan Syafri Harahap, 2004, Analisis Kritis atas Laporan Keuangan, Edisi 4. PT Raja Grafindo Persada, Jakarta. Supranto, J., 2000, Statistik Teori dan Aplikasi, Edisi Keenam, Penerbit Erlangga, Jakarta. Yuliati, Sri Handaru, Handoyo dan Fandy Tjiptono, 1996, Manajemen Portofolio dan Analisis Investasi, Edisi Pertama, Cetakan Pertama, Yogyakarta.   Jurnal   Heru Setiawan, 2000. Analisis Investasi dalam Menentukan Portofolio Optimal Di Bursa Efek Jakarta (BEJ). Trikonomika Jurnal Ekonomi. Vol. 1, No. 1, hal 15. Komaruddin, 2001. Pembentukan Portofolio Optimal atas Saham yang Diminati Oleh Reksa Dana Di Bursa Efek. Jurnal Akuntansi dan Keuangan. Vol. 6, No. 1, Januari 2001. hal 5. Nanang Purwanto. 2001. Analisis Variabel-variabel Fundamental yang Mempengaruhi Price Earning Ratio sebagai Dasar Penilaian Kewajaran Harga Saham pada Perusahaan-perusahaan yang Go Public Di Bursa Efek Jakarta (1997-1999). Journal Accounting Business and Management STIE-MCE Vol. 8 No. 1, April 2001. Susi dan Rudi Setiawan, 2003. Analisis Pengaruh Rasio Profitabilitas terhadap Harga Saham Industri Barang Konsumsi yang Tergabung dalam Indeks LQ45 yang Go Public Di Bursa Efek Jakarta (BEJ). Jurnal Akuntansi dan Keuanagan Vol. 8, No. 1, Januari 2003. hal 2.   Homepage   …………,http “www.jsx.co.id, Bursa Efek Jakarta.   …………,http “www.bi.co.id, Bank Indonesia.
URL	: