ANALISIS PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA PERUSAHAAN RETAIL DI BEI

Abstract

ABSTRACT
The purpose this research is meant to determine optimal portfolio by using single index model on the
retail companies which are listed in Indonesia Stock Exchange. The research data which consists of
stock price of monthly retail, dividend share, Composite Stock Price Index, and Interest rates of Bank
Indonesia Certificate in 2012-2014 periods.The calculation of optimal portfolio has been done by using
single index model which is started by calculating the market profit rate and by calculating individual
stock return. Furthermore, it is done by calculating the coefficient of beta and alpha, expectation
return, market risk rate and by calculating the profit of free risk asset and cut off point. It has been
obtained from the calculation that two of six stocks which have become the candidate of optimal
portfolio have become the research samples i.e. PT Ace Hardware Tbk (ACES) and PT Matahari
Department Store Tbk (LPPF).The criteria in determining the optimal portfolio from the first portfolio
stocks of ACES-LPPF is portfolio stock of ACES-LPPF which has the highest expectation return of
portfolio (E(R
p
)) with the certain portfolio risk rate (σ
p
). Second, portfolio stocks of ACES-LPPF which
has the smallest portfolio risk rate (σ
p
) with the expectation return of certain portfolio (E(R
p
)). The
result of this research shows that optimal portfolio with the highest expectation return of portfolio of
ACES-LPPF 1. Meanwhile, the optimal portfolio with the smallest portfolio risk rates of ACES-LPPF
9.

Keywords: Optimal Portfolio, Single Index Model, and Retail.