PEMBENTUKAN PORTOFOLIO OBLIGASI BERKUPON TETAP DENGAN MODEL INDEKS TUNGGAL (Studi Kasus Pada Obligasi Korporasi Periode 2010-2011)
The purpose of this paper is to determine optimal portofolio by using single index model. Single index model is one of many other models to create optimal portofolio. Creating optimal portofolio can reduce investment risk to become tolerable by risk averse investor. In the other it is creating expec...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2014
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/131687/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=72186 |
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| 機構: | Universitas Gadjah Mada |
| 總結: | The purpose of this paper is to determine optimal portofolio by using
single index model. Single index model is one of many other models to create
optimal portofolio. Creating optimal portofolio can reduce investment risk to
become tolerable by risk averse investor. In the other it is creating expected
return to the highest limit that this portofolio can archieve. Bond also the
alternative investment instrument to gain wealth to its investor which is risk in in
tolerable area.
The basic rule in determining portfolio member based on single index
model is all shares with ERB � C* includes in portfolio optimal. After knowing
which shares that included in optimal portfolio, then can determine the
proportions invested for each shares. Analysis result is 3 shares that are selected
as the optimal portfolio, they are : PPGD12B, JMPD14JM10 and PPGD13B.
Proportion for each shares are 7,22 %, 9,01 %, and 83,77 %. From the optimal
portfolio formed , it gets portfolio expected return E(Rp) at 0,09288. and portfolio
risk at 0,00147 %. |
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