ANALISIS PORTOFOLIO OPTIMAL MODEL INDEKS TUNGGAL PADA PERUSAHAAN PERKEBUNAN

Abstract

In carrying out investment activities, an investor is faced with two things, i.e.: the rate of return and
the risks that may arise as a result of the uncertainty.Therefore, investors minimize the risks they are
borne by conducting diversification, these securities form portfolio. Single index model analysis
methods can be used to determine the stocks that form optimal portfolio and their proportion.The
calculation is done by comparing the level of benefits and the risk level of five stocks that have been
selected as samples and two stocks have been obtained that are categorized into optimal portfolio and
become one combined portfolio, i.e. PT Tunas Baru Lampung Tbk (TBLA) and PT Eagle High
Plantation (BWPT). The result shows that the proportion of stocks of 50%: 50% the level of benefit is
0.0524 and the risk level is 0.0084. On proportion of 60%: 40% the level of benefit is 0.0180 and the
risk level is 0.0104. On proportion of 70%: 30% the level of benefit is -0.0163 and the risk level is
0.0404. It has been found from the result of these three samples have obtained the most optimal
proportion of stocks that is the proportion of 50%: 50%, because this proportion shows the largest level
of benefit of all proportions and it indicates the smallest risk level is of all proportion.

Keywords: Investment, Risk dan Return, Stock Portfolio, Single Index Model, Portfolio Optimal