ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL MARKOWITZ DAN MODEL INDEKS TUNGGAL (Saham Jakarta Islamic Index Tahun 2013 – 2017)

HIDAYAT, RIZKY (2018) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL MARKOWITZ DAN MODEL INDEKS TUNGGAL (Saham Jakarta Islamic Index Tahun 2013 – 2017). S2 thesis, Universitas Mercu Buana Jakarta.

[img]
Preview
Text (HAL COVER)
01.Cover luar.pdf

Download (60kB) | Preview
[img]
Preview
Text (ABSTRAK)
03.Abstract - eng.pdf

Download (54kB) | Preview
[img]
Preview
Text (LEMBAR PENGESAHAAN)
05.lembar pengesahan.pdf

Download (94kB) | Preview
[img]
Preview
Text (LEMBAR PERNYATAAN)
06.lembar pernyataan.pdf

Download (110kB) | Preview
[img]
Preview
Text (KATA PENGANTAR)
07.kata pengantar.pdf

Download (244kB) | Preview
[img]
Preview
Text (DAFTAR ISI)
08.daftar isi.pdf

Download (49kB) | Preview
[img]
Preview
Text (DAFTAR TABEL)
09.daftar tabel.pdf

Download (25kB) | Preview
[img]
Preview
Text (DAFTAR GAMBAR)
10.daftar gambar.pdf

Download (26kB) | Preview
[img]
Preview
Text (DAFTAR LAMPIRAN)
11.daftar lampiran.pdf

Download (66kB) | Preview
[img] Text (BAB I)
12.BAB 1.pdf
Restricted to Registered users only

Download (129kB)
[img] Text (BAB II)
13.BAB 2.pdf
Restricted to Registered users only

Download (42kB)
[img] Text (BAB III)
14.BAB 3.pdf
Restricted to Registered users only

Download (355kB)
[img] Text (BAB IV)
15.BAB 4.pdf
Restricted to Registered users only

Download (372kB)
[img] Text (BAB V)
16.BAB 5.pdf
Restricted to Registered users only

Download (888kB)
[img] Text (BAB VI)
17.BAB 6.pdf
Restricted to Registered users only

Download (28kB)
[img] Text (DAFTAR PUSTAKA)
18.daftar pustaka.pdf
Restricted to Registered users only

Download (261kB)
[img] Text (LAMPIRAN)
19.Lampiran.pdf
Restricted to Registered users only

Download (545kB)

Abstract

This study aims to perform optimal portfolio selection of sharia stocks listed on Jakarta Islamic Index (JII). Research data is monthly closing price for each stock during the period of 2013 – 2017. The research sample is determined by purposive sampling method, which is 15 stocks consistently listed in JII from population of 47 stocks which are evaluated in that period. The analysis method used is optimal portfolio selection with Markowitz model and single index model. The results showed that the optimal portfolio of both models gave expected return and risk (standard deviation) which tend to be the same. The optimal portfolio of both models also perform well compared to the market, which is shown by relatively high Sharpe ratio, Treynor ratio, and Jensen ratio. Keywords: expected return, standard deviation, Markowitz model, single index model, portfolio performance evaluation Penelitian ini bertujuan untuk melakukan proses pembentukan portofolio optimal saham-saham syariah yang tergabung dalam Jakarta Islamic Index (JII). Data yang digunakan merupakan harga penutupan saham hari terakhir di setiap bulan selama periode 2013 – 2017, yang dianggap mewakili kondisi portofolio. Sampel pada penelitian ini ditentukan dengan metode purposive sampling, yaitu merupakan 15 emiten yang selalu konsisten tercantum dalam JII dari total populasi 47 emiten yang silih berganti setiap periode tersebut. Metode analisis yang digunakan dalam penelitian ini adalah pembentukan portofolio optimal dengan model Markowitz dan model indeks tunggal. Hasil penelitian menunjukkan bahwa portofolio optimal dari kedua model tersebut memberikan nilai ekspektasi imbal hasil dan risiko (deviasi standar) yang cenderung sama. Portofolio optimal kedua model tersebut juga memiliki kinerja baik dibandingkan pasar, yang ditunjukkan oleh rasio Sharpe, rasio Treynor, dan rasio Jensen yang relatif tinggi. Kata kunci: ekspektasi imbal hasil, deviasi standar, model Markowitz, model indeks tunggal, evaluasi kinerja portofolio

Item Type: Thesis (S2)
Call Number CD: CD/551. 18 081
NIM: 55115110170
Uncontrolled Keywords: ekspektasi imbal hasil, deviasi standar, model Markowitz, model indeks tunggal, evaluasi kinerja portofolio
Subjects: 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 000. Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 005 Computer Programmming, Programs, Data/Pemprograman Komputer, Program, Data > 005.4 System Programming and Programs/Sistem Pemrograman dan Program > 005.43 Operating System/Sistem Operasi > 005.434 Process Management Programs/Program Manajemen Proses
000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 060 General Organizations, Foundations, and Museology/Organisasi-organisasi Umum, dan Museologi > 069 Museology (Museum science)/Museologi > 069.6 Personnel Management of Museum/Manajemen Personalia Museum > 069.63 Personnel Management/Manajemen Personalia
400 Language/Bahasa > 400. Language/Bahasa > 406 Organizations and management/Organisasi dan Manajemen
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Virda Syifa
Date Deposited: 05 Nov 2018 02:46
Last Modified: 07 Nov 2018 02:32
URI: http://repository.mercubuana.ac.id/id/eprint/45381

Actions (login required)

View Item View Item