PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45 PERIODE TAHUN 2015 DENGAN MENGGUNAKAN SINGLE-INDEX MODEL
Abstract
Investors basically pay more attention to risks than returns (profit rates). For this purpose,investors form a portfolio. A trusted portfolio can reduce risk and increase return. In forming a
portfolio to reduce risk, it is expected to diversify. Due to rational investors, investors try to get
an optimal portfolio, namely a portfolio that will produce the most minimal risk. Whereas in
investing in the capital market, investors will be faced with many shares. The LQ-45 index is an
index containing 45 stocks with high liquidity and large capitalization. In connection with this
matter, in this study a research is conducted on the formation of an optimal portfolio using LQ45
shares
and
using
the
Single-Index
Model
approach.
The
results
of
this
study
indicate
that
out
of
40
LQ-45
stocks
that
successfully
entered
as
the
research
object,
10
stock
candidates
have
the
potential
to form an optimal portfolio. However, after being tested against Zi, only one stock
was chosen to form the optimal portfolio, namely AKRA shares. Thus AKRA's hundred percent
share becomes the optimal portfolio that generates returns of 0.2531% with a risk of 0.51%.
Keywords: LQ-45 Index, Single-Index Model, optimal portfoli
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