ANALISIS PEMBENTUKAN PORTOFOLIO YANG EFISIEN MENGGUNAKAN MODEL MARKOWITZ PADA PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BEI

Abstract

This research is aimed to find out how to form an efficient combination of stock portofolio by using Markowitz analysis. The sample collection technique has been done by using purposive sampling method and 5 banking companies which are listed in Indonesia Stock Exchange (BEI) have been selected as samples. The data which has been used in this research is a monthly stock price data and dividend data which had been distributed in 2015. The result of the portfolios formation analysis which has been done by using Markowitz shows that 5 stocks has been combined into 10 portfolios. There are two efficient portfolios in the samr proportion ( 50% : 50% ) : portoflio 7 and portfolio 4. Meanwhile, theare 2 efficient portfolios in different proportion (40 % : 60 % ) that is porfolio 7 and portfolio 4. The selection of portfolio is based on the reference investors i.e. : (1) risk taker investor is an investor who like risk will select portfolio 7. (2) Risk Neutral investor is an investor who is neutral at risk, both in equal proportion ( 50% : 50% ) and different proportion ( 40% : 60% ). There is no portfolio that matches to the preferences of the risk neutral investor. (3) Risk averter investor is an investor who does not like risk will select the the portfolio 4.
Keywords : Markowitz model portfolio, Investment,Shares