relation: https://digilib.uin-suka.ac.id/id/eprint/48657/
title: ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN STOCHASTIC DOMINANCE
creator: LIA FEBRIYANTI, NIM. 17106010017
subject: Matematika
description: Investment is essentially spending some money or saving money on  something in the hope of getting additional or profit on that money. Investment in  stocks contained the term " high risk high return ". One way to reduce risk is to  diversify. Diversification can be realized by combining various stock options in  investment (forming an optimal portfolio).  In this study, the optimal portfolio was formed using two models, namely  the Single Index Model and Stochastic Dominance and measurement of the optimal  portfolio performance using the Treynor Index . The single index model is based on  the observation that the price of a security fluctuates in the same direction as the  market price index, while Stochastic Dominance is a technique for choosing risky  investments without having to pay attention to the distribution of investment returns  that must be normal. This study uses a case study on the Jakarta Islamic  Index (JII) sharia shares which are incorporated in the Indonesia Stock Exchange  (IDX). The sample taken in this study are stocks that have a value of The expected  return is greater than the return value of the risk-free asset ( E(Ri )  Rbr ) and 8  shares are obtained.  The results show that the Single Index Models and Stochastic Dominance  both produce five optimal portfolio candidate stocks. The highest proportion in the  Single Index Model is owned by INCO shares of 38.50% and the lowest proportion  is owned by ANTM shares of 3.50% with an expected portfolio return of 3.09% per  month and portfolio risk of 15.24% per month. Meanwhile the highest proportion  in Stochastic Dominance is owned by ICBP shares of 63.64% and ADRO, CTRA,  INCO and PTBA shares of 9.09% with an expected return of portfolio of 1.07% per  month and portfolio risk of 5.20% per month. From the results of portfolio  performance using the Single Index Model, the Treynor Index is 1.84% higher than  using Stochastic Dominance with a Treynor Index of 0.84%.
date: 2021-12-14
type: Thesis
type: NonPeerReviewed
format: text
language: id
identifier: https://digilib.uin-suka.ac.id/id/eprint/48657/1/17106010017_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
format: text
language: id
identifier: https://digilib.uin-suka.ac.id/id/eprint/48657/2/17106010017_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf
identifier:   LIA FEBRIYANTI, NIM. 17106010017  (2021) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN STOCHASTIC DOMINANCE.  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.