SKRIPSI DIGITAL
Analysis of Optimal Portfolio Selection for Stocks on the SRI-KEHATI Index (Case Study on Listed Companies in 2017-2021)
This study analyses optimal portfolio selection for stocks on the SRI-KEHATI index. The design of this research is quantitative research applied descriptive. Sampling is done by the purposive sampling method. The population in this research was 40 observational data, and the sampled used were 15 stocks listed in the Indonesia Stock Exchange period 2017-2022. Methods of data analysis used in this study were Markowitz Model and Single Index Model operated by Microsoft Excel 2019. The result of the Markowitz Model analysis shows that the optimal portfolio consists of BBCA (71.27%), BBRI (15.32%), and KLBF (13.51%) that will give a return of 0.90% while bearing the risk of 0.07% and 0.78%. Whereas the formation of an optimal portfolio of a single index model cannot be formed because only one candidate stock has an ERB value greater than the Cut-off Point (C*), namely BBCA. On another side, the optimal portfolio requirement, the portfolio must consist of several shares to be diversified.
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