ANALISIS PORTOFOLIO OPTIMAL MODEL INDEKS TUNGGAL PADA PERUSAHAAN BUILDING CONSTRUCTION DI BEI

Abstract

The purpose of this research is to find out how to determine the optimum portfolio by using Single Index Model in Building Construction companies which are listed in Indonesia Stock Exchange. The period that has been used in this research is from January 2011 to December 2015. The data has been done by using annual individual stock price of companies, the company dividend sharing data, the Composite Stock Price Index data, the interest rate of Bank Indonesia Certificates. The optimum portfolio can be established when the portfolio has an excess return to beta (ERB) value is larger than or equal to the Ci value, in which the Ci vakue is the cut-off point (C*) which is owned by the ERB value last time is still larger than or equal to the value of Ci. The shares which are included in the optimum portfolio is PT Pembangunan Perumahan Tbk. and PT Wijaya Karya Tbk. The result of the research show from 5 stocks of Building Construction which have been made as samples have gained 2 optimal stocks then they are combined into one portfolio which consist of two stocks in which the portfolio becomes optimum portfolio in every proportion it is selected.
Keywords: optimum portfolio, single index model, investment, stocks.