ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI

Abstract

This research is entitled “The Analysis of the Establishment of Optimal Portfolio by Using Single Index Model
in the Making of Investment Decision on State-owned Government Commercial Banks which are listed in
Indonesia Stock Exchange”.The purpose of this research is to apply the single index model in the decisionmaking of optimal investment in considering of stock investment on State-owned Government Commercial
Banks which are listed in Indonesia Stock Exchange. The data in this research is Composite Stock Price Index
(IHSG), dividend payment, and individual stock price and interest rates level in 2010-2013 periods. This
research is located in Indonesia Stock Exchange at STIESIA (Indonesia Schools of Economic) Surabaya.The
calculation has been carried out by using the profit level and risk level of individual stock formulas. Then, the
Excess Return to Beta and Cut off Point (Ci) is calculated. The stocks that own ERB is bigger than Ci is
categorized in optimal portfolio.The result of the research of 3 commercial Banks describes that 2 optimal stocks
in which their ERB value is higher than Ci value have been obtained. The stock which is categorized into the
optimal portfolio are Bank Rakyat Indonesia (BRI) and Bank Negara Indonesia.
Keywords: Single Index Model, Investment, Stock