文章基本信息

标题：Analisis Portofolio Optimal Saham Syariah Menggunakan Multi Index Models (Periode: 04 Januari 2010 â€“ 1 Juli 2013)
本地全文：下载
作者：Mulat Arjaâ€™i ; Mohammad Farhan Qudratullah
期刊名称：Jurnal Fourier
印刷版ISSN：2252-763X
电子版ISSN：2541-5239
出版年度：2013
卷号：2
期号：2
页码：105-111
DOI：10.14421/fourier.2013.22.105-111
出版社：Universitas Islam Negeri Sunan Kalijaga Yogyakarta
摘要：The portfolio is a combination or aggregation of two or more individual stock and concern for investors is to form the optimum portfolio and one of the ways that can be used are Multi-Index Models (MIM). This Model is a development of the Single Index Models (SIM), if on a SIM only consider one factor that affects the value of the stock, then return at MIM considers more than one factor. This study discusses the optimal portfolio analysis using Multi-Index Models with a case study on the stock of the Sharia Jakarta Islamic Index (JII) period 4 January 2010 â€“ 1 July 2013 by using composite stock price index (IHSG), index Dow Jones Industrial Average (DJIA) and index the Hang Seng Index as a factor in MIM. The results of this research were obtained that the optimum portfolio is a portfolio that was created based on the stocks that had the highest positive return value, i.e. UNVR 41,40%, SMGR 40.66%, KLBF 11.01, and LPKR 6,93% with a value of expected return portfolio amounted to 2.55% and risk of a portfolio of 0,29%.
关键词：multi-index models; the optimum portfolio; shariah stocks