ANALISIS PORTOFOLIO OPTIMAL DENGAN PENDEKATAN MODEL INDEKS TUNGGAL PADA PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2019-2020
DOI:
https://doi.org/10.37385/raj.v3i1.1891Keywords:
Optimal Portfolio, Single Index Model, BankingAbstract
This research purpose to determine the optimal portfolio process by using a single index model calculation in banking companies listed on the Indonesia Stock Exchange. This research is descriptive quantitative with data collection techniques are literature study by studying journals, books and literature that have relevance to the research. The sample from this study was obtained using a purposive sampling technique with criteria that have been considered by the researcher, there are 16 sample companies with the research period 2019-2020, the companies were BBRI, BBCA, BNII, BBKP, BMRI, BRIS, PNBS, MCOR, BNLI, BNGA, PNBN, NISP, AGRO, INPC, BSIM and BBNI. The type of data used is secondary data. Of the 16 companies that were used as research samples, it was found that 7 companies included in the optimal portfolio category, namely Bank Permata Tbk (BNLI) with the recommended share proportion to investors is 23.53%, Bank Syariah Indonesia Tbk (BRIS) is 13.87%, Bank Panin Dubai Syariah Tbk (PNBS) is 26.54%, Bank Raya Indonesia Tbk (AGRO) is 9.13%, Bank KB Bukopin Tbk (BBKP) is 6.88%, Bank Maybank Indonesia Tbk (BNII) is 10.48% and the last one is Bank Central Asia Tbk (BBCA) with a proportion 9 ,58%. The optimal expected return for the portfolio is 0.05929 while the risk return is 0.19355.
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