PORTOFOLIO OPTIMAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI PADA PERUSAHAAN PERKEBUNAN

Abstract

This research is meant to form optimal portfolio by using single index model at the Plantation
Company in IDX. The research object is the movement of Composite Stock Price Index, the dividend
sharing every month, the monthly individual stock price and interest rates of Bank Indonesia
Certificate in 2010-2014 periods. The calculation of portfolio is done by using single index model
which has been done by calculating the profit rates of each stock, the rates of market profit, alpha and
beta stock, profit expectation, market risk etc. The result of the research shows that the combination of
SMAR and AALI with the proportion 30%:70% has high rates of profit expectation i.e. 0.01967 or
1.967%. Meanwhile, the stock combination of TBLA and SMAR with the proportion 30%:70% has
small rates of risk from other portfolios i.e. 0.01184 or 1.184%. The measurement of optimal portfolio
is the selection of portfolio that gives the highest ERp value from all other forms of portfolio and
proportion. Portfolio is appropriate for the investors who desire high return. But, when the rate of
profit is high also it has high rates of risk as well.

Keywords: Optimal Portfolio Forming, Investment, Single Index Model.