ANALISIS PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA SEKTOR PERTAMBANGAN

Abstract

This research is aimed to describe and to analyze the optimal portofolio which has been carried out
single index model as the input to the investment decision on the coal mining sector companies which
are listed in Indonesia Stock Exchange. The data has been obtained the individual stock price per year,
devidend share per year, the fluctuation of Indonesia Composite Index (IHSG) and the interest rate of
Bank Indonesia Certificate (SBI) from 2011 until 2015. The population of this research is all coal
mining sector companies which are listed in Indonesia Stock Exchange in 2015. Optimal portfolio is
portofolio which has excess return to beta (ERB) value which is larger than the C
i
value in which the
C
i
value is the border point (cut-off point C*) which has the last ERB value and it is larger than the C
i

value.The result of this research shows that 2 of 6 stocks of coal mining companes have been selected as
optimal stocks therefore 1 ccmbined portofolio which is of the combiination of PT Bayan Resources
Tbk. Stocks And PT Resource Alam Indonesia Tbk. Stock has been obtained.

Keywords: single index model, optimal portofolio, investment