Analysis of Return And Risk And Feasibility Of Investment In Securities In Forming An Optimal Portfolio In Companies That Included In The Lq 45 Index of The Indonesia Stock Exchange
Categorie(s):
Optimal portfolio, single index model, expected return, excess return to beta, unique cut-off point, cut-off rate
Author(s):
Gandi Eka Sahriyal, I Wayan Widnyana, Putu Kepramareni
Tahun:
2021
Kode:
EJR-0179
Item Type:
Journal
Additional Info:
Article was published on Journal of Advances in Social Science and Humanities.
JASSH 07 (08), 1861−1870 (2021)
eISSN/eISBN:
2395-6542
Keyword(s):
Optimal portfolio, single index model, expected return, excess return to beta, unique cut-off point, cut-off rate
DOI:
https://doi.org/10.15520/jassh.v7i8.635
Abstract :
Investment is the placement of a number of funds made at the present time to obtain profits in the future. This optimal portfolio research aims to determine the return and risk of the portfolio, as well as to determine the proportion of funds invested. The period used in this study is January 2018 to December 2020. The number of research samples is 29 samples. The data obtained are secondary data using the documentation method. The data analysis technique in this study uses a single index model to determine the stocks that make up the optimal portfolio. Stocks that are candidates for the optimal portfolio are stocks that have an ERB greater than or equal to the cut-off rate his. The optimal portfolio is formed by stocks that have an excess return to beta (ERB) of 0.0344 and a unique cut-off point (C*) of 0.0185. Based on the results of this study, there were 13 stocks that became the optimal portfolio. The expected return of the portfolio is 1.49% per month with a risk of 0.73%. The conclusion obtained is that rational investors will invest their funds into an optimal portfolio consisting of 13 stocks..