ANALISIS PORTOFOLIO MODEL INDEKS TUNGGAL OPTIMALISASI SAHAM PADA PERUSAHAAN ADVERTISING, PRINTING DAN MEDIA

Abstract

This research is meant to find out and to determine the combination of optimal portfolio which
provides maximum Expected Return and minimum stock risk by using portfolio analysis with single
index model on the stocks of the companies in the sector of advertising, printing and media which are
listed in Indonesia Stock Exchange. The research data of this research is Composite Stock Price Index
(IHSG), dividend share, and individual stock price and interest rates in 2012-2014 periods. This
research is located in Indonesia Stock Exchange (IDX) which is available at STIESIA (Sekolah Tinggi
Ilmu Ekonomi Indonesia) Surabaya. The calculation has been done by using the formulas of profit
rates and rates of individual stock price. After that the value of Excess Return to Beta (ERB) and Cut
off Point (Ci) is calculated. The stock that has ERB last time is still larger than Ci which includes in
the category of optimal portfolio. The next step is to calculate the fund proportion of each stock which
is formed as optimum portfolio, and the expected return and portfolio can be found out from here. The
result of this research shows that 2 optimal stocks have been obtained from 9 sample. Stocks which are
included in the optimal portfolio are PT Media Nusantara Citra Tbk and PT Mahaka Media Tbk with
their profit risk is 0.1324 and risk rates is 0.0383 on the stock proportion of 50%:50%.

Keywords:Portfolio of Single Index Model, Investment, Optimal Portfolio