文章基本信息

标题：The Analysis of Optimal Portfolio Forming with Single Index Model on Indonesian Most Trusted Companies
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作者：Partono Thomas ; Widiyanto ; Yulianto Arief 等
期刊名称：International Research Journal of Finance and Economics
印刷版ISSN：1450-2887
电子版ISSN：1450-2887
出版年度：2017
期号：163
页码：50-59
出版社：European Journals Inc.
摘要：This study aims to form the optimal portfolio in trusted company in Indonesia. This research is a descriptive research with quantitative approach and purposive sampling technique. The population is the Indonesian Most Trusted Companies with 33 sample companies, while the total sample of 27 companies. The analysis model is Single Index Model. The results of this research there are eight stocks forming the optimal portfolio, and the respective percentage of shares that UNVR by 23%, PGAS by 29%, JSMR by 24%, ADHI by 11%, NISP amounted to 2%, HMSP by 5%, and WEHA by 1%. Portfolios are formed also generate the expected return of 1.6% with 0,1% systematic risk and 0,1% unique risk and for the total risk is 4%. While the stock formed from the overall sample Indonesian Most Trusted Companies provide expected return of -0.4%, with a greater risk of 5%. Rational investors will choose investments into companies that have a single index model analysis on trusted companies.
关键词：Cut-off; Optimal Portfolio; Return; Risk; Single Index Model.