Anisya Putri Nurhasanah, . (2023) PEMBENTUKAN DAN EVALUASI KINERJA PORTOFOLIO OPTIMAL: Studi Pada Indeks IDX80 Di Bursa Efek Indonesia. Skripsi thesis, Universitas Pembangunan Nasional Veteran Jakarta.
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Abstract
This research is a quantitative study aimed at forming an optimal portfolio of stocks listed on the IDX80 using the single index model, and analyzing the performance of the formed optimal portfolio using the Sharpe index, Treynor index, and Jensen index. The study uses consistently listed stocks on the IDX80 on the Indonesia Stock Exchange during the period from February 2020 to July 2023, with a total of 50 company stocks as samples. The analysis using the single index model produces an optimal portfolio consisting of 6 stocks, namely PTBA, ADRO, TBIG, ITMG, SIDO, and KLBF, with an expected return rate of 2.98% and a risk of 0.45%. Performance evaluation of the formed portfolio using the three methods results in average indices that are positively valued, indicating that the stocks included in the portfolio are worth investing in.
| Item Type: | Thesis (Skripsi) |
|---|---|
| Additional Information: | [No. Panggil: 2010111118] [Pembimbing: Nurmatias] [Penguji 1: Dahlia Pinem] [Penguji 2: Tri Siswantini] |
| Uncontrolled Keywords: | IDX80, Optimal Portfolio, Portfolio, Portfolio Performance Evaluation, Single Index Model |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Fakultas Ekonomi dan Bisnis > Program Studi Manajemen (S1) |
| Depositing User: | Anisya Putri Nurhasanah |
| Date Deposited: | 23 Jan 2024 02:20 |
| Last Modified: | 21 Mar 2024 04:34 |
| URI: | http://repository.upnvj.ac.id/id/eprint/28732 |
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