HUDA, SAMSUL (2022) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN SINGLE INDEX MODEL DAN STOCHASTIC DOMINANCE PADA INDEKS SRI-KEHATI. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
This study directly applies the Single Index Model and Stochastic Dominance to solve the portfolio selection problem. This study aims to determine the difference in performance between the Single Index Model and Stochastic Dominance. The use of secondary data was used in this study by selecting the sample using the purposive sampling technique. If viewed based on the portfolio return, the single-index model can produce a portfolio return of (1.548%) and a stochastic dominance return of (0.888%). The results show that the value of the Stochastic Dominance portfolio formation has a Treynor index which is 2.22% higher than the Single Index Model with a Treynor index of 2.09%. Keywords: Optimal Portfolio, Single Index Model, Stochastic Dominance Studi ini menerapkan secara langsung Single Index Model dan Stochastic Dominance untuk memecahkan masalah pemilihan portofolio. Studi ini bertujuan untuk mengetahui perbedaan kinerja antara Single Index Model dan Stochastic Dominance. Penggunaan data sekunder digunakan dalam penelitian ini dengan pemilihan sampel melakukan teknik purposive sampling. Jika dilihat berdasarkan return portofolio single index model mampu menghasilkan return portofolio sebesar (1.548%) dan return stochastic dominace sebesar (0.888%). Hasil penelitian menunjukkan bahwa nilai dari pembentukan portofolio secara Stochastic Dominance memiliki indeks Treynor yang lebih tinggi yaitu 2.22% dibandingkan dengan Single Index Model dengan indeks Treynor sebesar 2.09%. Kata Kunci: Portofolio Optimal, Model Indeks Tunggal, Stochastic Dominance
| Item Type: | Thesis (S2) |
|---|---|
| NIM/NIDN Creators: | 55118120080 |
| Uncontrolled Keywords: | Portofolio Optimal, Model Indeks Tunggal, Stochastic Dominance Portofolio Optimal, Model Indeks Tunggal, Stochastic Dominance |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | MYTHA ALVIANA SARI |
| Date Deposited: | 03 Jun 2022 04:32 |
| Last Modified: | 03 Jun 2022 04:32 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/62561 |
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