ANALISIS PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA SAHAM PERUSAHAAN PERTAMBANGAN

Abstract

The purpose of this research is to determine the optimal portolio by using single indes model on the
mining companies which are liste in the IDX. The research data is the fluctuation of monthly individual
stock price and Composite Stock Price Index (IHSG), dividend share, and interest rates of ank Indonesia
Certificate In 01-2014 periods.The calcultation of optimal portoflio has een done by using single index
model by determining the individual stock profit rates and the market profit. The following calculation is
the calculation of alpha value and stock eta, stock risk rates and risk free profit rates. Three of fice stocks
wich ebcome the candidate of portfolio stock have been selected as the research samples i.e : PT Adaro Tbk,
PT Harum Energy Tbk, and PT Indo Tambangraya Megah.The result of this research shows that the
composite stock from PT Adaro dan PT Indo Tambangraya Megah has proportion 90% : 10% its profits
ratehas highest expectation i.e. -0.0027. Meanwhile, the composite stock from PT Harum Tbk and PT Indo
Tambang Raya Tbk with the proportion of fund is 50%:50% its risk rate is the lowest from other portfolios
is 0.079657. The determintation of optimal portfolio is measured by two things, the portfolio which gives
the highest profit or portfolio which gives the lowest risk rates.

Keyword : The Establishment Of Optimal Portofolio, Investment, Single Index Model