Irsyaad Rachmatullah, . (2021) ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MARKOWITZ DAN SINGLE INDEX MODEL PADA SAHAM JAKARTA ISLAMIC INDEX. Skripsi thesis, Universitas Pembangunan Nasional Veteran Jakarta.
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Abstract
This research is a quantitative descriptive study which aims to determine the optimal portfolio composition of stocks that are consistently listed on the Jakarta Islamic Index (JII) from the 2018 – November 2020 period. By using the Markowitz analysis method and the Single Index Model, and then looking at the portfolio performance of both methods. The results of this study are: (1) in the Markowitz method, 2 stocks that form the optimal portfolio are obtained, namely: ANTM (51%), and BRPT (49%). With a level of expected return portfolio of 0,0083 or 0,83%, and a portfolio risk level of 0,0659 or 6,59%. (2) in the Single Index Model method, 4 stocks that form the optimal portfolio are obtained, namely: BRPT (35,75%), ANTM (35,27%), INCO (25,07%), and WIKA (3,9%). With a level of expected return portfolio of 0,0075 or 0,75%, and a portfolio risk level of 0,0110 or 1,10%. (3) performance Markowitz portfolio has a value sharpe index of 0,1116, treynor index of 0,0066, and jensen index of 0,0052. (4) the performance of Single Index Model portfolio has a value sharpe index of 0,5919, treynor index of 0,0042, and jensen index of 0,0035.
| Item Type: | Thesis (Skripsi) |
|---|---|
| Additional Information: | [No. Panggil: 1710111100] [Ketua Penguji: Sri Mulyantini] [Dosen Penguji I: Nurmatias] [Dosen Penguji II (Pembimbing): Jubaedah Nawir] |
| Uncontrolled Keywords: | Optimal Portfolio, JII, Markowitz, Single Index Model, Covid-19 |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Fakultas Ekonomi dan Bisnis > Program Studi Manajemen (S1) |
| Depositing User: | Irsyaad Rachmatullah |
| Date Deposited: | 10 Jun 2021 04:30 |
| Last Modified: | 10 Jun 2021 04:30 |
| URI: | http://repository.upnvj.ac.id/id/eprint/9647 |
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