dc.contributor.advisor | Viana, Eka Dasra | |
dc.contributor.author | Az-Zahra, Layalia Briliani | |
dc.date.accessioned | 2024-07-09T13:39:30Z | |
dc.date.available | 2024-07-09T13:39:30Z | |
dc.date.issued | 2024 | |
dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/153331 | |
dc.description.abstract | Kondisi perekonomian Indonesia yang stabil menunjukkan hal positif dan
meningkatkan jumlah investor pada pasar modal di Indonesia. Salah satu instrument
pada pasar modal yaitu saham. Tujuan penelitian ini membentuk portofolio optimal
yang menjadi rekomendasi para investor. Penelitian ini menggunakan CAPM dan
model Markowitz, yang melibatkan penggunaan data sekunder. Proses pemilihan
sampel penelitian melibatkan penggunaan teknik non-probability sampling,
khususnya purposive sampling. Penelitian ini berfokus pada Indeks SRI-KEHATI
periode Januari 2019-Desember 2023. Terdapat 7 saham efisien menggunakan
metode CAPM yaitu BBCA, BBNI, BBRI, BMRI, JSMR, KLBF, dan UNTR.
Kombinasi 7 saham model Markowitz membentuk dua preferensi. Preferensi
pertama menghasilkan proporsi alokasi dengan rumus yaitu expected return
portofolio tahunan sebesar 40,55% dan risiko portofolio tahunan sebesar 30,33%.
Preferensi kedua menghasilkan proporsi alokasi dengan solver yaitu expected
return portofolio tahunan sebesar 46,79% dan risiko portofolio tahunan sebesar
32,91%. | |
dc.description.abstract | The stable economic conditions in Indonesia have had a positive impact, leading to
an increase in the number of investors in the Indonesian capital market. One of the
key instruments in this market is stocks. The aim of this research is to create an
optimal portfolio that can be recommended to investors. The study utilizes the
CAPM and Markowitz models, and involves the use of secondary data. The
research sample selection process makes use of non-probability sampling
techniques, specifically purposive sampling. This research focuses on the SRI
KEHATI Index for the period from January 2019 to December 2023. Using the
CAPM method, 7 efficient stocks have been identified, namely BBCA, BBNI,
BBRI, BMRI, JSMR, KLBF, and UNTR. The combination of 7 stocks using the
Markowitz model forms two preferences. The first preference generates an
allocation proportion with a formula that results in an annual portfolio expected
return of 40.55% and an annual portfolio risk of 30.33%. The second preference
generates an allocation proportion with a solver that results in an annual portfolio
expected return of 46.79% and an annual portfolio risk of 32.91%. | |
dc.description.sponsorship | | |
dc.language.iso | id | |
dc.publisher | IPB University | id |
dc.title | Pembentukan Portofolio Optimal Saham Indeks SRI-KEHATI pada Bursa Efek Indonesia (Periode 2019 - 2023) | id |
dc.title.alternative | Optimal Portfolio Formation of SRI KEHATI Index Stocks on the Indonesia Stock Exchange (2019-2023 Period) | |
dc.type | Skripsi | |
dc.subject.keyword | CAPM | id |
dc.subject.keyword | Optimal Portofolio | |
dc.subject.keyword | SRI KEHATI | |
dc.subject.keyword | Markowitz Model | |